This post-effective amendment relates only to ProShares Listed Private Equity and ProShares Merger Arbitrage, each a new series of ProShares Trust. No information relating to any other series or class of
series of ProShares Trust is amended or superseded hereby.

The information in this prospectus is not complete and may be changed. Shares of the Funds
may not be sold until the registration statement filed with the Securities and Exchange Commission is effective. This prospectus is not an offer to sell these securities and it is not soliciting an offer to buy these securities in any state where
the offer or sale is not permitted.

Preliminary Prospectus - Subject to Completion

March [ ], 2012

Prospectus

[ ],
2012

Alpha ProShares

[ ] ProShares Merger Arbitrage

[ ] ProShares Listed Private Equity

ProShares Trust

Distributor: SEI Investments Distribution Co.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or passed upon the
accuracy or adequacy of this prospectus. Any representation to the contrary is a criminal offense.

ProShares Merger Arbitrage (the Fund) seeks investment results, before fees and expenses, that track the performance of the
[ ] Merger Arbitrage Index (the Index).

The Index was
created by [ ] (the Index Sponsor). The Index is designed to provide exposure to a merger arbitrage strategy by capturing the spread, if any, between the price at
which the stock of a company (each such company, a Target) trades after a proposed acquisition of such Target is announced and the price that the acquiring company (the Acquirer) has proposed to pay for the stock of Target. A
spread between these two prices typically exists due to the uncertainty that the announced merger or acquisition will close, and if it closes, that such merger or acquisition will be at the initially proposed economic terms. For successful
transactions, the spread is expected to approach zero by the closing date of the transaction, resulting in a gain to strategies such as the Index, which attempt to capture this spread. The size of the spread itself will depend on the perceived risk
of the deal closing, as well as the length of time expected until the deal is completed.

The Index uses a quantitative methodology to track a
dynamic basket of securities trading in global markets, including the U.S., generally representing long positions in certain Target securities, and short positions in the related Acquirer securities in order to provide exposure to the merger
arbitrage strategy. The Index does not track all possible merger or other acquisition transactions or any funds focused on merger and acquisition transactions.

Fees and Expenses of the Fund

The table below describes the fees and expenses that you may pay if
you buy or hold shares of the Fund.

Annual Fund Operating Expenses

(expenses that you pay each year as a percentage of the value of your investment)

Investment Advisory Fees

[

]%

Other Expenses*

[

]%

Total Annual Operating Expenses Before Fee Waivers and Expense Reimbursements

[

]%

Fee Waiver/Reimbursement**

[

]%

Total Annual Operating Expenses After Fee Waivers and Expense Reimbursements

[

]%

*

Other expenses are based on estimated amounts for the current fiscal year.

**

ProShare Advisors LLC (ProShare Advisors or the Advisor) has contractually agreed to waive Investment Advisory and Management Services Fees and
to reimburse Other Expenses to the extent Total Annual Operating Expenses Before Fee Waivers and Expense Reimbursements, as a percentage of average daily net assets, exceed [ ]% through
[ ], 2013. After such date, the expense limitation may be terminated or revised. Amounts waived or reimbursed in a particular contractual period may be recouped by ProShare
Advisors within five years of the end of that contractual period to the extent that recoupment will not cause the Funds expenses to exceed any expense limitation in place at that time.

Example: This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds.

The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your Shares at the end of each period. The
example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the same, except that the fee waiver/expense reimbursement is assumed only to pertain to the first year. Although your actual cost
may be higher or lower, based on these assumptions your approximate costs would be:

1 Year

3 Years

$[ ]

$[ ]

The Fund pays transaction and financing costs associated with transacting in securities and derivatives. These costs are
not reflected in the example or the table above.

The Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover may indicate higher transaction costs and may
result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example above, affect the Funds performance. The Funds portfolio turnover rate is
calculated without regard to cash instruments or derivatives transactions. If such instruments were included, the Funds portfolio turnover rate would be significantly higher. The Fund has not yet commenced operations as of the date of this
prospectus. Thus, no portfolio turnover information is provided for this Fund.

Principal Investment Strategies

The Fund invests in a combination of equity securities and derivatives that ProShare Advisors believes, in combination, should track the performance of
the Index. Cash balances arising from the use of derivatives will typically be held in money market instruments.



Equity Securities  The Fund invests in common stock issued by public companies.



Derivatives  The Fund invests in derivatives, which are financial instruments whose value is derived from the value of an underlying
asset, interest rate or index. The Fund invests in derivatives as a substitute for investing directly in the securities, or shorting the securities, underlying the Index. These derivatives principally include:



Swap Agreements  Contracts entered into primarily with major global financial institutions for a specified period ranging from a day to
more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross return to be
exchanged or swapped between the parties is calculated with respect to a notional amount, e.g., the return on or change in value of a particular dollar amount invested in a basket of securities representing a
particular index.



Money Market Instruments  The Fund invests in short-term cash instruments that have a remaining maturity of 397 days or less and
exhibit high quality credit profiles.

ProShare Advisors uses a mathematical approach to investing. Using this approach,
ProShare Advisors determines the type, quantity and mix of investment positions that the Fund should hold to approximate the performance of the Index. The Fund may gain exposure to only a representative sample of the securities in the Index, which
is intended to have aggregate characteristics similar to those of the Index, may invest directly in securities held by the Index, and may invest in securities not contained in the underlying Index. ProShare Advisors does not invest the assets of the
Fund in securities or derivatives based on ProShare Advisors view of the investment merit of a particular security, instrument, or company, other than for cash management purposes, nor does it conduct conventional research or analysis (other
than in determining counterparty creditworthiness), or forecast market movement or trends, in managing the assets of the Fund. The Fund seeks to remain fully invested at all times in money market instruments, other securities and/or derivatives
that, in combination, provide exposure to the Index without regard to market conditions, trends or direction.

Risks Associated with the Use of Derivatives  The Fund uses investment techniques and derivatives that may be considered aggressive.
Because the Funds investments in derivatives may involve a small investment relative to the amount of investment exposure assumed, losses may exceed the amounts invested in those instruments. There may be imperfect correlation between changes
in the value of such instruments and the Index, which may prevent the Fund from achieving its investment objective. Additionally, with respect to the use of swap agreements, if the level of the Index has a dramatic intraday move that causes a
material decline in the Funds net asset value (NAV), the terms of a swap agreement between the Fund and its counterparty may permit the counterparty to immediately close out the transaction with the Fund. In that event, the
Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Funds objective. This, in turn, may prevent the Fund from achieving its investment objective, even
if the Index reverses all or a portion of its intraday move by the end of the day. Swap-related financing, borrowing and other costs will also have the effect of lowering the Funds return.



Correlation Risk  A number of factors may affect the Funds ability to achieve a high degree of correlation with the Index, and
there can be no guarantee that the Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent the Fund from achieving its investment objective. Additionally, if the Index has a dramatic intraday move,
the terms of a swap agreement between the Fund and its counterparty may permit the counterparty to immediately close out the transaction with the Fund. This, in turn, may prevent the Fund from achieving its investment objective, even if the Index
reverses all or a portion of its intraday move by the end of the day. A number of other factors may also adversely affect the Funds correlation with the Index, including fees, expenses, transaction costs, financing costs associated with the
use of derivatives, income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. The Fund may not have investment exposure to all
securities in the Index, or its weighting of investment exposure to such securities may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in the Index. The Fund may be subject
to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to the Index. Activities surrounding Index reconstitutions and other Index rebalancing events may hinder the Funds ability to
meet its investment objective.



Merger Arbitrage Risk  The Fund is subject to the risks associated with the transactions targeted by the Index to the same extent as its
underlying Index is so exposed. The Index is designed to capture the spread, if any, between the price at which a target company (the Target) trades after a proposed acquisition by merger of the Target is announced and the price that the
acquiring company (the Acquirer) has proposed to pay for the Target. The spread between these two prices typically exists due to the uncertainty that the announced merger will close and, if it closes, that such merger will be at the
initially proposed economic terms. For a successful merger transaction, the spread is expected to approach zero by the closing date of the merger. There is no assurance that any of the transactions reflected in the Index will be successfully
completed. In particular, in certain market conditions, it is possible that most or all of the transactions would not be completed. If any merger transaction reflected in the Index is not completed, the spread between the price offered for the
Target and the price at which the shares of the Target trade is expected to widen. This could adversely affect the performance of the Index and the performance of the Fund. Potential transactions may be terminated, renegotiated, or subject to a
longer time frame than initially contemplated due to business, regulatory, or other concerns. Any of those events may negatively impact the performance of the Fund. If any merger transaction targeted by the Index is not consummated, the spread
between the price offered for the target company and the price at which the shares of the target company are expected to trade could widen, which would have an adverse effect on the performance of the Fund. Also, foreign companies involved in
pending mergers or acquisitions may present risks distinct from comparable transactions completed solely within the U.S.



Counterparty Risk  The Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely
payments to meet its contractual obligations) with respect to the amount it expects to receive from counterparties to derivatives or repurchase agreements entered into by the Fund. If a counterparty becomes bankrupt or fails to perform its
obligations, the value of your investment in the Fund may decline.

Early Close/Late Close/Trading Halt Risk  An exchange or market may close early, close late or issue trading halts on specific
securities, or the ability to buy or sell certain securities or derivatives may be restricted, which may result in the Fund being unable to buy or sell certain securities or derivatives. In such circumstances, the Fund may be unable to rebalance its
portfolio, may be unable to accurately price its investments and/or may incur substantial trading losses.



Equity and Market Risk  The equity markets are volatile, and the value of securities, swaps, and other instruments correlated with the
equity markets may fluctuate dramatically from day-to-day. Equity markets are subject to political, regulatory, market and economic developments, as well as developments that impact specific economic sectors, industries or segments of the market.
Volatility in the markets and/or adverse market developments may cause the value of an investment in the Fund to decrease.



Liquidity Risk  In certain circumstances, such as the disruption of the orderly markets for the securities or derivatives in which the
Fund invests, the Fund might not be able to dispose of certain holdings quickly or at prices that represent true market value in the judgment of ProShare Advisors. Such a situation may prevent the Fund from limiting losses, realizing gains or
achieving a high correlation with the Index.



Market Price Variance Risk  Fund shares are listed for trading on the NYSE Arca and can be bought and sold in the secondary market at
market prices. The market prices of shares will fluctuate in response to changes in NAV and supply and demand for shares. ProShare Advisors cannot predict whether shares will trade above, below or at their NAV. Given the fact that shares can be
created and redeemed in Creation Units, as defined below, ProShare Advisors believes that large discounts or premiums to the NAV of shares should not be sustained. The Funds investment results are measured based upon the daily NAV of the Fund.
Investors purchasing and selling shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund.



Non-Diversification Risk  The Fund is classified as non-diversified under the Investment Company Act of 1940, and has the
ability to invest a relatively high percentage of its investments in the securities of a small number of issuers susceptible to a single economic, political or regulatory event, or in derivative instruments with a single counterparty if ProShare
Advisors determines that doing so is the most efficient means of meeting the Funds objective. This makes the performance of the Fund more susceptible to a single economic, political or regulatory event or adverse impact from credit risk
relating to that counterparty than a diversified fund might be.



Portfolio Turnover Risk  Active trading of the Funds shares may cause more frequent creation or redemption activities that could,
in certain circumstances, increase the number of portfolio transactions. High levels of transactions increase brokerage costs and may result in increased taxable capital gains.



Valuation Risk  In certain circumstances, portfolio securities may be valued using techniques other than market quotations. The value
established for a portfolio security may be different from what would be produced through the use of another methodology if it had been priced using market quotations. Portfolio securities that are valued using techniques other than market
quotations, including fair valued securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell
a portfolio security for the value established for it at any time, and it is possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.



Short Sale Exposure Risk  The Fund may seek inverse exposure through financial instruments such as swap agreements, which may cause the Fund to
be exposed to certain risks associated with selling securities short. These risks include, under certain market conditions, an increase in the volatility and decrease in the liquidity of securities underlying the short position, which may adversely
impact the Funds return, result in a loss, have the effect of limiting the Funds ability to obtain inverse exposure through financial instruments such as swap agreements, or require the Fund to seek inverse exposure through alternative
investment strategies that may be less desirable or may be costly to implement. To the extent that, at any particular point in time, the securities underlying the short position may be thinly traded or have a limited market, including due to
regulatory action, the Fund may be unable to meet its investment objective due to a lack of a counterparty or counterparties. During such periods, the Funds ability to issue additional Creation Units may be adversely affected. Obtaining
inverse exposure through these instruments may be considered an aggressive investment technique.

Performance history will be available for the Fund after it has been in operation for a full calendar year.

Management

The Fund is advised by ProShare Advisors. Ryan Dofflemeyer, Portfolio Manager, has
managed the Fund since 2012.

Purchase and Sale of Fund Shares

The Fund will issue and redeem Shares only to Authorized Participants (typically broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash) in large blocks,
known as Creation Units, each of which is comprised of 50,000 Shares. Retail investors may only purchase and sell Shares on a national securities exchange through a broker-dealer. Because the Shares trade at market prices rather than NAV, Shares may
trade at a price greater than NAV (premium) or less than NAV (discount).

Tax Information

Income and capital gain distributions you receive from the Fund are subject to federal income taxes and may also be subject to state and local taxes.
Distributions for this Fund may be significantly higher than those of most exchange-traded funds.

The Index,
published by[ ], seeks to track the performance of leading publicly listed companies in the private equity space. The universe is all publicly listed companies in the
[ ] database that engage in the private equity business excluding real estate income and property trusts and companies whose primary business is in energy exploration and
transportation, or mining. The universe is narrowed down to an investable set of stocks based on market capitalization, liquidity, volume and listing venue criteria.

The Index is rebalanced semi-annually on the last business day of January and July, when membership and initial constituent weights are set. There are no intra-rebalancing Index additions, and
intra-rebalancing deletions occur only because of delistings. The Index is not comprised of, and the Fund does not invest in, any private equity fund or group of private equity funds.

Fees and Expenses of the Fund

The table below describes the fees and expenses that you may pay if
you buy or hold shares of the Fund.

Annual Fund Operating Expenses

(expenses that you pay each year as a percentage of the value of your investment)

Investment Advisory Fees

[

]%

Other Expenses*

[

]%

Acquired Fund Fees and Expenses**

Total Annual Operating Expenses Before Fee Waivers and Expense Reimbursements

[

]%

Fee Waiver/Reimbursement***

[

]%

Total Annual Operating Expenses After Fee Waivers and Expense Reimbursements

[

]%

*

Other expenses are based on estimated amounts for the current fiscal year.

**

Acquired Fund Fees and Expenses are not directly borne by the Fund and are not reflected in the Funds Financial Statements. Therefore, the amounts
listed in Total Annual Operating Expenses After Fee Waivers and Expense Reimbursements will differ from those presented in the Funds Financial Highlights.

***

ProShare Advisors LLC (ProShare Advisors or the Advisor) has contractually agreed to waive Investment Advisory and Management Services Fees and
to reimburse Other Expenses to the extent Total Annual Operating Expenses Before Fee Waivers and Expense Reimbursements, as a percentage of average daily net assets, exceed [ ]% through
[ ], 2013. After such date, the expense limitation may be terminated or revised. Amounts waived or reimbursed in a particular contractual period may be recouped by ProShare
Advisors within five years of the end of that contractual period to the extent that recoupment will not cause the Funds expenses to exceed any expense limitation in place at that time.

Example: This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds.

The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your Shares at the end of each period. The
example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the same, except that the fee waiver/expense reimbursement is assumed only to pertain to the first year. Although your actual cost
may be higher or lower, based on these assumptions your approximate costs would be:

1 Year

3 Years

$[ ]

$[ ]

The Fund pays transaction and financing costs associated with transacting in securities and derivatives. These costs are
not reflected in the example or the table above.

The Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover may indicate higher transaction costs and may
result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example above, affect the Funds performance. The Funds portfolio turnover rate is
calculated without regard to cash instruments or derivatives transactions. If such instruments were included, the Funds portfolio turnover rate would be significantly higher. The Fund has not yet commenced operations as of the date of this
prospectus. Thus, no portfolio turnover information is provided for this Fund.

Principal Investment Strategies

The Fund invests in equity securities that ProShare Advisors believes, in combination, should track the performance of the Index.



Equity Securities  The Fund invests in common stock issued by public companies.



Money Market Instruments  The Fund invests in short-term cash instruments that have a remaining maturity of 397 days or less and
exhibit high quality credit profiles.

The Fund is subject to the Securities and Exchange Commissions
(SEC) names rule (Rule 35d-1 under the Investment Company Act of 1940, as amended (the 1940 Act)), and commits to invest at least 80% of its assets (i.e., net assets plus borrowings for investment purposes), under
normal market conditions, in securities contained in its Index and/or financial instruments with similar economic characteristics.

ProShare
Advisors uses a mathematical approach to investing. Using this approach, ProShare Advisors determines the type, quantity and mix of investment positions that the Fund should hold to approximate the performance of the Index. The Fund may gain
exposure to only a representative sample of the securities in the Index, which is intended to have aggregate characteristics similar to those of the Index and may invest in securities not contained in the underlying Index. ProShare Advisors does not
invest the assets of the Fund in securities based on ProShare Advisors view of the investment merit of a particular security or company, other than for cash management purposes, nor does it conduct conventional research or analysis (other than
in determining counterparty creditworthiness), or forecast market movement or trends, in managing the assets of the Fund. The Fund seeks to remain fully invested at all times in equity securities that provide exposure to the Index without regard to
market conditions, trends or direction.

Correlation Risk  A number of factors may affect the Funds ability to achieve a high degree of correlation with the Index, and
there can be no guarantee that the Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent the Fund from achieving its investment objective. A number of other factors may also adversely affect the
Funds correlation with the Index, including fees, expenses, transaction costs, income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities in which the Fund invests. The Fund may
not have investment exposure to all securities in the Index, or its weighting of investment exposure to such securities may be different from that of the Index. In addition, the Fund may invest in securities not included in the Index. The Fund may
be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to the Index. Activities surrounding Index reconstitutions and other Index rebalancing events may hinder the Funds
ability to meet its investment objective.

Early Close/Late Close/Trading Halt Risk  An exchange or market may close early, close late or issue trading halts on specific
securities, or the ability to buy or sell certain securities or derivatives may be restricted, which may result in the Fund being unable to buy or sell certain securities. In such circumstances, the Fund may be unable to rebalance its portfolio, may
be unable to accurately price its investments and/or may incur substantial trading losses.



Equity and Market Risk  The equity markets are volatile, and the value of securities correlated with the equity markets may fluctuate
dramatically from day-to-day. Equity markets are subject to political, regulatory, market and economic developments, as well as developments that impact specific economic sectors, industries or segments of the market. Volatility in the markets
and/or adverse market developments may cause the value of an investment in the Fund to decrease.



Risks Relating to Investing in Listed Private Equity Companies  The Fund is subject to risks faced by companies in the private equity sector to
the same extent as the Index is so concentrated. There are certain risks inherent in investing in listed private equity companies, which encompass business development companies (BDCs) and other financial institutions or vehicles whose principal
business is to invest in and lend capital to privately held companies. The 1940 Act imposes certain restraints upon the operations of a BDC. For example, BDCs are subject to requirements relating to the use of their assets. Generally, little public
information exists for private and thinly traded companies, and there is a risk that investors may not be able to make a fully informed investment decision. Private equity securities additionally carry other risks including those related to
excessive leverage, unclear ownership , market access constraints and market opaqueness.



Exposure to Foreign Currency Risk  Certain of the Funds investments may be denominated in foreign currencies. Investments
denominated in foreign currencies are exposed to risk factors in addition to investments denominated in U.S. dollars. The value of an investment denominated in a foreign currency could change significantly as foreign currencies strengthen or weaken
relative to the U.S. dollar. Risks related to foreign currencies also include those related to economic or political developments, market inefficiencies or a higher risk that essential investment information may be incomplete, unavailable, or
inaccurate. A U.S. dollar investment in an investment denominated in a foreign currency, like the investments included in the Index, is subject to foreign currency risk.



Exposure to Foreign Investments Risk  Exposure to securities of foreign issuers may provide the Fund with increased risk. Various
factors related to foreign investments may negatively impact the Indexs performance, such as: i) fluctuations in the value of the applicable foreign currency; ii) differences in securities settlement practices; iii) uncertainty associated with
evidence of ownership of investments in countries that lack centralized custodial services; iv) possible regulation of, or other limitations on, investments by U.S. investors in foreign investments; v) potentially higher brokerage commissions; vi)
the possibility that a foreign government may withhold portions of interest and dividends at the source; vii) taxation of income earned in foreign countries or other foreign taxes imposed; viii) foreign exchange controls, which may include
suspension of the ability to transfer currency from a foreign country; ix) less publicly available information about foreign issuers; x) changes in the denomination currency of a foreign investment; and xi) less certain legal systems in which the
Fund might encounter difficulties or be unable to pursue legal remedies. Foreign investments also may be more susceptible to political, social, economic and regional factors than might be the case with U.S. securities.



Liquidity Risk  In certain circumstances, such as the disruption of the orderly markets for the securities in which the Fund invests,
the Fund might not be able to dispose of certain holdings quickly or at prices that represent true market value in the judgment of ProShare Advisors. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high
correlation with the Index.

Market Price Variance Risk  Fund shares are listed for trading on the NYSE Arca and can be bought and sold in the secondary market at
market prices. The market prices of shares will fluctuate in response to changes in NAV and supply and demand for shares. ProShare Advisors cannot predict whether shares will trade above, below or at their NAV. Given the fact that shares can be
created and redeemed in Creation Units, as defined below, ProShare Advisors believes that large discounts or premiums to the NAV of shares should not be sustained. The Funds investment results are measured based upon the daily NAV of the Fund.
Investors purchasing and selling shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund.



Non-Diversification Risk  The Fund is classified as non-diversified under the Investment Company Act of 1940, and has the
ability to invest a relatively high percentage of its investments in the securities of a small number of issuers susceptible to a single economic, political or regulatory event, or in derivative instruments with a single counterparty if ProShare
Advisors determines that doing so is the most efficient means of meeting the Funds objective. This makes the performance of the Fund more susceptible to a single economic, political or regulatory event or adverse impact from credit risk
relating to that counterparty than a diversified fund might be.



Portfolio Turnover Risk  Active trading of the Funds shares may cause more frequent creation or redemption activities that could,
in certain circumstances, increase the number of portfolio transactions. High levels of transactions increase brokerage costs and may result in increased taxable capital gains.



Valuation Risk  In certain circumstances, portfolio securities may be valued using techniques other than market quotations. The value
established for a portfolio security may be different from what would be produced through the use of another methodology if it had been priced using market quotations. Portfolio securities that are valued using techniques other than market
quotations, including fair valued securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell
a portfolio security for the value established for it at any time, and it is possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.

Investment Results

Performance history will be
available for the Fund after it has been in operation for a full calendar year.

Management

The Fund is advised by ProShare Advisors. Alexander Ilyasov, Portfolio Manager, has managed the Fund since 2012.

Purchase and Sale of Fund Shares

The Fund will
issue and redeem Shares only to Authorized Participants (typically broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000
Shares. Retail investors may only purchase and sell Shares on a national securities exchange through a broker-dealer. Because the Shares trade at market prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV
(discount).

Tax Information

Income
and capital gain distributions you receive from the Fund are subject to federal income taxes and may also be subject to state and local taxes. Distributions for this Fund may be significantly higher than those of most exchange-traded funds.

This section contains additional detail regarding ProShares Listed Private Equity and ProShares Merger Arbitrage (each, a Fund and,
collectively, the Funds), including the each Funds investment objective, principal investment strategies, risks you would face as a shareholder of each Fund, and information about how to find out more about the Funds
portfolio holdings disclosure policy.

Investment Objective

Each Fund seeks investment results, before fees and expenses, that track the performance of an index, the [ ] Listed Private Equity
Index for ProShares Listed Private Equity and the [ ] Merger Arbitrage Index for ProShares Merger Arbitrage (each, an Index).

Each Funds investment objective is non-fundamental, meaning it may be changed by the Board of Trustees (the Board) of ProShares Trust
(the Trust), without the approval of Fund shareholders. Each Fund reserves the right to substitute a different index or security for its Index.

Principal Investment Strategies

In seeking to achieve each Funds investment objective,
ProShare Advisors uses a mathematical approach to investing. Using this approach, ProShare Advisors determines the type, quantity and mix of investment positions that a Fund should hold to approximate the performance of each Funds underlying
Index. The Funds employ investment techniques that ProShare Advisors believes should, in the aggregate, simulate the movement of each Funds Index.

The investment techniques utilized to simulate the movement of each applicable Index are intended to enhance liquidity, maintain a tax-efficient portfolio and reduce transaction costs while, at the same
time, seeking to maintain high correlation with, and similar aggregate characteristics to, each Index. For example, a Fund may gain exposure to only a representative sample of the securities in an underlying Index, which is intended to have
aggregate characteristics similar to that Index. Similarly, a Fund may overweight or underweight certain components contained in an Index, or invest in investments not included in an Index but that are designed to provide the requisite exposure to
that Index. ProShare Advisors does not invest the assets of a Fund in securities or financial instruments based on ProShare Advisors view of the investment merit of a particular security, instrument, or company, other than for cash management
purposes, nor does it conduct conventional research or analysis, or forecast market movement or trends, in managing the assets of a Fund. Each Fund seeks to remain fully invested in a combination of derivatives, equity securities and/or money market
instruments that ProShare Advisors believes should have similar return characteristics to its underlying Index without regard to market conditions, trends or direction. The Funds do not take temporary defensive positions.

ProShares Listed Private Equity is subject to the Securities and Exchange Commissions (SEC) names rule (Rule 35d-1 under
the Investment Company Act of 1940, as amended (the 1940 Act)), and commits to invest at least 80% of its assets (i.e., net assets plus borrowings for investment purposes), under normal market conditions, in securities contained in its
Index and/or financial instruments with similar economic characteristics.



Equity Securities (All Funds)  Each Fund invests in common stock issued by public companies.

Derivatives (ProShares Merger Arbitrage Only)  ProShares Merger Arbitrage invests in derivatives, which are financial
instruments whose value is derived from the value of an underlying asset, interest rate or index. The Fund invests in derivatives as a substitute for investing directly in the securities underlying an Index. These derivatives principally include:



Swap Agreements  Contracts entered into primarily with major global financial institutions for a specified period ranging from a day to
more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross return to be
exchanged or swapped between the parties is calculated with respect to a notional amount, e.g., the return on or change in value of a particular dollar amount invested in a basket of securities representing a
particular index.



Money Market Instruments (ProShares Merger Arbitrage Only)  ProShares Merger Arbitrage invests in short-term cash
instruments that have a remaining maturity of 397 days or less and exhibit high quality credit profiles.

Principal Risks

In addition to the risks noted in the Summary Section, many other factors may also affect the value of an investment in a Fund. Each
Funds NAV will change daily based on the performance of an Index, which in turn is affected by variations in market conditions, interest rates and other economic, political or financial developments. The impact of these developments on a Fund
will depend upon the types of securities in which a Fund invests, a Funds level of investment in particular issuers and other factors, including the financial condition, industry, economic sector and location of such issuers.

Like all investments, investing in a Fund entails risks. The factors most likely to have a significant impact on a Funds portfolio are called
principal risks. The principal risks for each Fund are noted in the Summary Section and additional information regarding certain of these risks, as well as information related to other potential risks to which a Fund may be subjected, is
provided below. The Statement of Additional Information (SAI) contains additional information about each Funds investment strategies and related risks. A Fund may be subject to other risks in addition to those identified as
principal risks.



Risk Associated with the Use of Derivatives (ProShares Merger Arbitrage Only)  ProShares Merger Arbitrage uses investment
techniques that may be considered aggressive, including the use of swap agreements. Using derivatives also may result in imperfect correlation between the value of the instruments and an Index, which may prevent a Fund from achieving its investment
objective. Swap-related financing, borrowing and other costs will also have the effect of lowering a Funds return. In addition, the use of aggressive investment techniques also exposes the Fund to risks different from, or possibly greater
than, the risks associated with investing directly in securities contained in an Index, including: 1) the risk that there may be imperfect correlation between the price of financial instruments and movements in the prices of the underlying
securities; 2) the risk that an instrument is mispriced; 3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; 4) the risk that securities prices, interest rates, and currency markets will move adversely and a
Fund will incur significant losses; 5) the risk that the cost of holding a financial instrument might exceed its total return; and 6) the possible absence of a liquid secondary market for any particular instrument and/or possible exchange-imposed
price fluctuation limits, which may make it difficult or impossible to adjust a Funds position in a particular financial instrument when desired.



Correlation Risk (All Funds)  There can be no guarantee that a Fund will achieve a high degree of correlation with its
underlying Index. Failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Funds correlation with its underlying Index, including material over- or
under-exposure, fees, expenses, transaction costs, financing costs and risks associated with the use of derivatives (in the case of ProShares Merger Arbitrage), income items, valuation methodology, infrequent trading in the securities underlying an
Index, accounting standards and disruptions or illiquidity in the markets for the securities or financial instruments in which a Fund invests. Each Fund may not have investment exposure to all securities in its underlying Index, or its weighting of
investment exposure to such securities may be different from that of an Index. In addition, each Fund may invest in securities or financial instruments not included in its underlying Index. Each Fund may be subject to large movements of assets into
and out of the Fund, potentially resulting in that Fund being over- or under-exposed to its underlying Index. Activities surrounding periodic Index reconstitutions and other Index rebalancing or reconstitution events may hinder a Funds ability
to meet its investment objective.

Counterparty Risk (ProShares Merger Arbitrage Only)  Each Fund will be subject to credit risk (i.e., the risk that a counterparty
is unwilling or unable to make timely payments to meet its contractual obligations) with respect to the amount a Fund expects to receive from counterparties to financial instruments and repurchase agreements entered into by a Fund. Each Fund
structures the agreements such that either party can terminate the contract without penalty prior to the termination date. Each Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under
such an agreement. Each Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances. Each Fund
typically enters into transactions with counterparties whose credit rating, at the time of the transaction, is investment grade, as determined by a nationally recognized statistical rating organization, or, if unrated, judged by ProShare Advisors to
be of comparable quality. These are usually only large well-capitalized and well-established financial institutions. Each Fund has sought to mitigate risks by generally requiring that the counterparties for a Fund agree to post collateral for the
benefit of that Fund, marked to market daily, in an amount approximately equal to what the counterparty owes that Fund, subject to certain minimum thresholds. To the extent any such collateral is insufficient, or there are delays in accessing the
collateral, a Fund will be exposed to the risks described above, including possible delays in recovering amounts as a result of bankruptcy proceedings.



Exposure to Foreign Investments Risk (All Funds)  A Fund may invest in securities of foreign issuers or other investments that
provide that Fund with exposure to foreign issuers (collectively, foreign investments). Certain factors related to foreign investments may prevent a Fund from achieving its goals. These factors include the effect of:
(i) fluctuations in the value of the local currency versus the U.S. dollar and the uncertainty associated with the cost of converting between various currencies, particularly when currency hedging techniques are unavailable;
(ii) differences in settlement practices, as compared to U.S. investments, or delayed settlements in some foreign markets; (iii) the uncertainty associated with evidence of ownership of investments in many foreign countries, which may lack
the centralized custodial services and rigorous proofs of ownership required by many U.S. investments; (iv) possible regulation of, or other limitations on, investments by U.S. investors in foreign investments; (v) brokerage commissions
and fees and other investment-related costs that may be higher than those applicable to U.S. investments; (vi) the possibility that a foreign government may withhold portions of interest and dividends at the source; (vii) taxation of
income earned in foreign nations or other taxes imposed with respect to investments in foreign nations; (viii) changes in the denomination currency of a foreign investment; and (ix) foreign exchange controls, which may include suspension
of the ability to transfer currency from a given country.

In addition, markets for foreign investments are
usually less liquid, more volatile and significantly smaller than markets for U.S. securities, which may affect, among other things, a Funds ability to purchase or sell foreign investments at appropriate times.

Each Funds ability to achieve its investment objective also may be affected by factors related to its ability to obtain information
about foreign investments. In many foreign countries, there is less publicly available information about issuers than is available in reports about U.S. issuers. Markets for foreign investments are usually not subject to the degree of government
supervision and regulation that exists for U.S. investments. Foreign issuers are generally not subject to uniform accounting, auditing and financial reporting standards, and auditing practices and requirements may not be comparable to those
applicable to U.S. issuers. Furthermore, the issuers of foreign investments may be closely controlled by a small number of families, institutional investors or foreign governments whose investment decisions might be difficult to predict. To the
extent a Funds assets are exposed to contractual and other legal obligations in a foreign country, e.g., swap agreements with foreign counterparties, these factors may affect a Funds ability to achieve its investment objective. Each Fund
may encounter difficulties or be unable to pursue legal remedies and obtain judgments in foreign courts. In some countries, information about decisions of the judiciary, other government branches, regulatory agencies and tax authorities may be less
transparent than decisions by comparable institutions in the U.S., particularly in countries that are politically dominated by a single party or individual. Moreover, enforcement of such decisions may be inconsistent or uncertain.

Foreign investments also may be more susceptible to political, social, economic and regional factors than might be the case for U.S.
securities. These factors include the effect of: (i) expropriation, nationalization or confiscatory taxation of foreign investments; (ii) changes in credit conditions related to foreign counterparties, including foreign governments and
foreign financial institutions; (iii) trade barriers, exchange controls, managed adjustments in relative currency values and other protectionist measures; (iv) issues related to multi-national currency arrangements; and (v) increased
correlation between the value of foreign

investments and changes in the commodities markets. To the extent a Fund focuses its investments on a particular country or region, that Funds ability to meet its investment objective may
be especially subject to factors and developments related to such country or region.



Market Price Variance Risk (All Funds)  Individual shares of each Fund will be listed for trading on the NYSE Arca and can be
bought and sold in the secondary market at market prices. The market prices of a Funds shares will fluctuate in response to changes in NAV and supply and demand for that Funds shares. ProShare Advisors cannot predict whether a
Funds shares will trade above, below or at its NAV. Differences between secondary market prices and NAV for shares may be due largely to supply and demand forces in the secondary market, which may not be the same forces as those influencing
prices for securities or instruments held by a Fund at a particular time. Given the fact a Funds shares can be created and redeemed in Creation Units, ProShare Advisors believes that large discounts or premiums to the NAV of a Funds
shares should not be sustained. There may, however, be times when the market price and the NAV vary significantly and you may pay more than NAV when buying a Funds shares on the secondary market, and you may receive less than NAV when you sell
that Funds shares. The market price of a Funds shares, like the price of any exchange-traded security, includes a bid-ask spread charged by the exchange specialist, market makers or other participants that trade the
particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that a Funds shares may trade at a discount to NAV, and the discount is likely to be greatest when the price of a
Funds shares is falling fastest, which may be the time that you most want to sell your shares. A Funds investment results are measured based upon the daily NAV of that Fund. Investors purchasing and selling a Funds shares in the
secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with that Fund.



Trading Risks (All Funds)  Although shares of each Fund are listed for trading on the NYSE Arca and may be listed or traded on U.S. and
non-U.S. stock exchanges other than the NYSE Arca, there can be no assurance that an active trading market for each Funds shares will develop or be maintained. Trading in shares on an exchange may be halted due to market conditions or for
reasons that, in the view of an exchange, make trading in shares inadvisable. In addition, trading in shares on an exchange is subject to trading halts caused by extraordinary market volatility pursuant to exchange circuit breaker rules.
Short selling of shares is also limited pursuant to SEC rules if the trading price of shares varies by more than 10% from the previous days closing price on the exchange. There can be no assurance that the requirements of an exchange necessary
to maintain the listing of a Fund will continue to be met or will remain unchanged or that a Funds shares will trade with any volume, or at all, on any stock exchange.

Additional Securities, Instruments and Strategies

This section describes additional securities,
instruments and strategies that may be utilized by the Funds and are not principal investment strategies of the Funds unless otherwise noted in a Funds description of principal strategies.



Repurchase Agreements (All Funds)  Contracts in which a seller of securities, usually U.S. government securities or other money market
instruments, agrees to buy them back at a specified time and price. Repurchase agreements are primarily used by a Fund as a short-term investment vehicle for cash positions.

Derivatives ProShares Listed Private Equity may invest in derivatives, which are financial instruments whose value is derived from the value
of an underlying asset, interest rate or index. The Fund may invest in derivatives as a substitute for investing directly in the securities underlying an Index. These derivatives principally include:



Swap Agreements  Contracts entered into primarily with major global financial institutions for a specified period ranging from a day to
more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross return to be
exchanged or swapped between the parties is calculated with respect to a notional amount, e.g., the return on or change in value of a particular dollar amount invested in a basket of securities representing a
particular index.

A Precautionary Note to Retail Investors  The Depository Trust Company (DTC), a limited trust company and
securities depositary that serves as a national clearinghouse for the settlement of trades for its participating banks and broker-dealers, or its nominee will be the registered owner of all outstanding shares of each Fund. Your ownership of shares
will be shown on the records of DTC and the DTC Participant broker through whom you hold the shares. PROSHARES TRUST WILL NOT HAVE ANY RECORD OF YOUR OWNERSHIP. Your account information will be maintained by your broker, who will provide you with
account statements, confirmations of your purchases and sales of shares, and tax information. Your broker also will be responsible for furnishing certain cost basis information and ensuring that you receive shareholder reports and other
communications from a Fund. Typically, you will receive other services only if your broker offers these services.

A Precautionary Note to
Purchasers of Creation Units  You should be aware of certain legal risks unique to investors purchasing Creation Units directly from an issuing Fund. Because new shares from a Fund may be issued on an ongoing basis, a
distribution of that Funds shares could be occurring at any time. As a dealer, certain activities on your part could, depending on the circumstances, result in your being deemed a participant in the distribution, in a manner that
could render you a statutory underwriter and subject you to the prospectus delivery and liability provisions of the Securities Act of 1933, as amended (the Securities Act). For example, you could be deemed a statutory underwriter if you
purchase Creation Units from an issuing Fund, break them down into the constituent Fund shares, and sell those shares directly to customers, or if you choose to couple the creation of a supply of new shares with an active selling effort involving
solicitation of secondary market demand for shares. Whether a person is an underwriter depends upon all of the facts and circumstances pertaining to that persons activities, and the examples mentioned here should not be considered a complete
description of all the activities that could cause you to be deemed an underwriter. Dealers who are not underwriters, but are participating in a distribution (as opposed to engaging in ordinary secondary market transactions), and thus
dealing with a Funds shares as part of an unsold allotment within the meaning of Section 4(3)(C) of the Securities Act, will be unable to take advantage of the prospectus delivery exemption provided by Section 4(3) of the
Securities Act.

A Precautionary Note to Investment Companies  For purposes of the 1940 Act, a Fund is a registered investment
company, and the acquisition of a Funds shares by other investment companies is subject to the restrictions of Section 12(d)(1) thereof.

The Trust and ProShares Merger Arbitrage have obtained an exemptive order from the SEC allowing a registered investment company to invest in ProShares Merger Arbitrage beyond the limits of
Section 12(d)(1) subject to certain conditions, including that a registered investment company enters into a Participation Agreement with the Trust regarding the terms of the investment. ProShares Listed Private Equity does not currently
rely on the exemptive order, meaning that an investment companys acquisition of ProShares Listed Private Equitys shares remains subject to the limits of Section 12(d)(1). Any investment company considering purchasing shares of
ProShares Merger Arbitrage in amounts that would cause it to exceed the restrictions of Section 12(d)(1) should contact the Trust.

A Precautionary Note Regarding Unusual Circumstances  ProShares Trust can postpone payment of redemption proceeds for any period during which
(1) the New York Stock Exchange (the NYSE) or The NASDAQ Stock Market is closed other than customary weekend and holiday closings, (2) trading on the NYSE or The NASDAQ Stock Market is restricted, (3) any emergency
circumstances exist, as determined by the SEC, and (4) the SEC by order permits for the protection of shareholders of a Fund, as further described in the SAI.

A Precautionary Note Regarding Regulatory Initiatives  There is a possibility of future
regulatory changes altering, perhaps to a material extent, the nature of an investment in a Fund or the ability of each Fund to continue to implement its investment strategy.

The futures markets are subject to comprehensive statutes, regulations, and margin requirements. In addition, the SEC, CFTC and the exchanges are authorized to take extraordinary actions in the event of a
market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of swaps and futures
transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. The effect of any future regulatory change on each Fund is impossible to predict, but could be substantial and
adverse.

In particular, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the Dodd-Frank Act) was signed into law on
July 21, 2010. The Dodd-Frank Act will change the way in which the U.S. financial system is supervised and regulated. Title VII of the Dodd-Frank Act sets forth a new legislative framework for OTC derivatives, including financial instruments,
such as swaps, in which a Fund may invest. Title VII of the Dodd-Frank Act makes broad changes to the OTC derivatives market, grants significant new authority to the SEC and the CFTC to regulate OTC derivatives and market participants, and will
require clearing and exchange trading of many OTC derivatives transactions.

Provisions in the Dodd-Frank Act include new registration,
recordkeeping, capital and margin requirements for swap dealers and major swap participants as determined by the Dodd-Frank Act and applicable regulations; and the forced use of clearinghouse mechanisms for many OTC
derivative transactions. The CFTC, SEC and other federal regulators have been tasked with developing the rules and regulations enacting the provisions of the Dodd-Frank Act. Although the original one-year period prescribed for rulemaking and
regulations has been extended by both the SEC and CFTC, it is not possible at this time to gauge the exact nature and scope of the impact of the Dodd-Frank Act on each Fund. However, it is expected that swap dealers, major market participants and
swap counterparties, including each Fund, will experience new and/or additional regulations, requirements, compliance burdens and associated costs. The new law and the rules to be promulgated may negatively impact a Funds ability to meet its
investment objective either through limits or requirements imposed on it or upon its counterparties. In particular, new position limits imposed on each Fund or its counterparties may impact a Funds ability to invest in a manner that
efficiently meets its investment objective, and new requirements, including capital and mandatory clearing, may increase the cost of each Funds investments and cost of doing business, which could adversely affect investors.

Underlying Indexes

Each Fund will enter into a
licensing agreement for the use of its Index.

Information About the Index Licensor

[To be provided]

Portfolio Holdings Information

A description of the Trusts policies and procedures with respect to the disclosure of a Funds portfolio holdings is available in each
Funds SAI. The top ten holdings of each Fund are posted on a daily basis to the Trusts website at proshares.com.

The Board is responsible for the general supervision of each Fund. The officers of the Trust are responsible for the day-to-day operations of each Fund.

Investment Adviser

ProShare Advisors, located
at 7501 Wisconsin Avenue, Suite 1000, Bethesda, Maryland 20814, serves as the investment adviser to each Fund and provides investment advice and management services to each Fund. ProShare Advisors oversees the investment and reinvestment of the
assets in a Fund. For its investment advisory services, ProShare Advisors is entitled to receive fees equal to 0.75% of the average daily net assets of each Fund. A discussion regarding the basis for the Board approving the investment advisory
agreement for a Fund will be included in the Trusts semi-annual or annual report to shareholders that covers the period during which the approval occurred. To the extent a Fund invests in exchange-traded funds (ETFs) sponsored by ProShare
Advisors and /or common units of beneficial interest of one or more separate series of a trust sponsored by an affiliate of ProShare Advisors, ProShare Advisors has agreed to waive its investment advisory fees in an amount equal to the investment
advisory fees and management services fees applicable to Fund assets invested in such ETFs and/or trust securities.

Portfolio Management

The following individuals have responsibility for the day-to-day management of the Funds, as set forth in the summary section.

Ryan Dofflemeyer, ProShare Advisors  Portfolio Manager since December 2009 and Associate Portfolio Manager from May 2008 through November 2009.
ProFund Advisors  Associate Portfolio Manager from May 2005 through April 2008.

Alexander Ilyasov, ProShare Advisors  Portfolio
Manager since November 2009. ProFund Advisors  Portfolio Manager since November 2009. World Asset Management  Portfolio Manager from January 2006 through November 2009; Portfolio Analyst from July 2005 through January 2006.

Determination of NAV

The NAV per Share of a Fund is computed by dividing the value of the net assets of that Fund (i.e., the value of its total assets less total liabilities)
by its total number of Fund shares outstanding. Expenses and fees are accrued daily and taken into account for purposes of determining NAV. The NAV of a Fund is calculated by J.P. Morgan Investor Services Co. and determined each business day at the
close of regular trading of the NYSE (ordinarily 4:00 p.m. New York time).

Securities and other assets are generally valued at their market
value using information provided by a pricing service or market quotations. Certain short-term securities are valued on the basis of amortized cost. When a market price is not readily available, securities and other assets are valued at fair value
in good faith under procedures established by, and under the general supervision and responsibility of, the Board. The use of a fair valuation method may be appropriate if, for example: (i) market quotations do not accurately reflect fair value
of an investment; (ii) an investments value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (for example, a foreign exchange or market); (iii) a
trading halt closes an exchange or market early; or (iv) other events result in an exchange or market delaying its normal close. This procedure incurs the unavoidable risk that the valuation may be higher or lower than the securities might
actually command if the Fund sold them. See the SAI for more details.

The NYSE is open every week, Monday through Friday, except when the
following holidays are celebrated: New Years Day, Martin Luther King, Jr. Day (the third Monday in January), Presidents Day (the third Monday in February), Good Friday, Memorial Day (the last Monday in May), July 4th, Labor Day (the
first Monday in September), Thanksgiving Day (the fourth Thursday in November) and Christmas Day. The NYSE may close early on the business day before each of these holidays and on the day after Thanksgiving Day. Exchange holiday schedules are
subject to change without notice. If the exchange or market on which a Funds investments are primarily traded closes early, the NAV may be calculated prior to its normal calculation time. Creation/redemption transaction order time cutoffs
would also be accelerated.

As a shareholder, you will earn a share of the investment income and net realized capital gains derived from a Funds direct security holdings and derivative instruments. You will receive such
earnings as either an income dividend or a capital gains distribution. Each Fund intends to declare and distribute to its shareholders at least annually virtually all of its net income, as well as net realized capital gains. Subject to Board
approval, some or all of any net capital gains distribution may be declared payable in either additional shares of a Fund or in cash. If such a distribution is declared payable in that fashion, holders of shares will receive additional shares of
that Fund unless they elect to receive cash. Dividends may be declared and paid more frequently to comply with the distribution requirements of the Internal Revenue Code or for other reasons.

Dividend Reinvestment Services

As noted above under
Distributions, a Fund may declare a net capital gain distribution to be payable in additional Fund shares or cash. Even if a Fund does not declare a dividend to be payable in Fund shares, brokers may make available to their customers who
own shares the DTC book-entry dividend reinvestment service. If this service is available and used, dividend distributions of both income and capital gains will automatically be reinvested in additional whole shares of that Fund. Without this
service, investors would have to take their distributions in cash. To determine whether the dividend reinvestment service is available and whether there is a commission or other charge for using this service, please consult your broker.

Frequent Purchases and Redemption of Shares

The Trusts Board of Trustees has not adopted a policy of monitoring for frequent purchases and redemptions of shares (frequent trading)
that appear to attempt to take advantage of potential arbitrage opportunities presented by a lag between a change in the value of a Funds portfolio securities after the close of the primary markets for that Funds portfolio securities and
the reflection of that change in the Funds NAV (market timing). The Trust believes this is appropriate because ETFs like the Funds are intended to be attractive to arbitrageurs, as trading activity is critical to ensuring that the
market price of each Funds shares remains at or close to NAV. Since each Fund issues and redeems Creation Units at NAV plus applicable transaction fees, and each Funds shares may be purchased and sold on the NYSE Arca at prevailing
market prices, the risks of frequent trading are limited.

Taxes

The following is certain general information about taxation of each Fund and its shareholders:



Each Fund intends to qualify for treatment as a regulated investment company for U.S. federal income tax purposes. In order to so qualify,
a Fund must meet certain tests with respect to the sources and types of its income, the nature and diversification of its assets, and the timing and amount of its distributions.



If a Fund qualifies for treatment as a regulated investment company, it is not subject to federal income tax on net investment income and net realized
capital gains that the Fund timely distributes to its shareholders.



Investments by a Fund in options, futures, forward contracts, swaps and other derivative financial instruments are subject to numerous special and
complex tax rules. These rules could affect the amount, timing or character of the income distributed to shareholders by a Fund. In addition, because the application of these rules may be uncertain under current law, an adverse determination or
future Internal Revenue Service guidance with respect to these rules may affect whether a Fund has made sufficient distributions, and otherwise satisfied the relevant requirements, to maintain its qualification as a regulated investment company and
avoid a Fund-level tax.



Investments by a Fund in debt obligations issued or purchased at a discount and certain derivative investments could cause that Fund to recognize
taxable income in excess of the cash generated by such investments, potentially requiring the Fund to dispose of investments (including when otherwise disadvantageous to do so) in order to meet its distribution requirements, and could affect the
amount, timing or character of the income distributed to shareholders by the Fund.

Taxable investors should be aware of the
following basic tax points:



Distributions are taxable to you for federal income tax purposes whether you receive them in cash or reinvest them in additional shares.



Distributions declared in October, November or December of one year  if paid to you by the end of January of the following year  are
taxable for federal income tax purposes as if received in the calendar year in which the distributions were declared.

Any distributions from income or short-term capital gains that you receive generally are taxable to you as ordinary dividends for federal income tax
purposes. Currently, ordinary dividends you receive that are reported as qualified dividend income may be taxed at the same rates as long-term capital gains. However, income received in the form of ordinary dividends will not be
considered long-term capital gains for other federal income tax purposes, including the calculation of net capital losses. The special tax treatment of qualified dividend income will apply only to taxable years beginning before January 1, 2013,
unless Congress enacts tax legislation providing otherwise.



Any distributions of net long-term capital gains are taxable to you as long-term capital gains for federal income tax purposes, no matter how long you
have owned your Fund shares.



Capital gain distributions may vary considerably from year to year as a result of a Funds normal investment activities and cash flows.



A sale or exchange of a Funds shares is a taxable event. This means that you may have a capital gain to report as income, or a capital loss to
report as a deduction, when you complete your federal income tax return.



Dividend and capital gain distributions that you receive, as well as your gains or losses from any sale or exchange of shares, may be subject to state
and local income taxes.



If you are not a citizen or a permanent resident of the United States, or if you are a foreign entity, any dividends and short-term capital gains that
you receive will generally be subject to a 30% U.S. withholding tax, unless a lower treaty rate or a statutory exemption applies.



Dividends and interest received by a Fund from sources outside the U.S. may be subject to withholding and other taxes imposed by foreign countries,
which would reduce returns from an investment in that Fund. Tax conventions between certain countries and the United States may reduce or eliminate such taxes. If more than 50% of the value of a Funds total assets at the close of a taxable
year consists of securities of foreign corporations, that Fund will be eligible to elect to pass through to you foreign income taxes that it pays. If this election is made, you will be required to include your share of those taxes in
gross income as a distribution from that Fund and you generally will be allowed to claim a credit (or a deduction, if you itemize deductions) for such amounts on your federal U.S. income tax return, subject to certain limitations.



By law, each Fund must generally withhold a percentage of your distributions and proceeds if you have not provided a taxpayer identification number or
social security number, have under-reported dividend or interest income or have failed to certify to the Fund that you are not subject to such withholding. The backup withholding rate is currently 28% for amounts paid through December 31, 2012.
Under current law, the backup withholding rate will increase to 31% for amounts paid after December 31, 2012.

In
addition, taxable investors who purchase or redeem Creation Units should be aware of the following additional basic tax points:



A person who exchanges securities for Creation Units generally will recognize a gain or loss equal to the difference between the market value of the
Creation Units at the time of the exchange and the exchangers aggregate basis in the securities surrendered and any cash amount paid.



A person who exchanges Creation Units for securities generally will recognize a gain or loss equal to the difference between the exchangers basis
in the Creation Units and the aggregate market value of the securities received and any cash received. However, all or a portion of any loss a person realizes upon an exchange of Creation Units for securities will be disallowed by the Internal
Revenue Service if such person purchases other substantially identical shares of a Fund within 30 days before or after the exchange. In such case, the basis of the newly purchased shares will be adjusted to reflect the disallowed loss.

Note: This Prospectus provides general U.S. federal income tax information only. Your investment in a Fund may have other
tax implications. If you are investing through a tax-deferred retirement account, such as an individual retirement account, special tax rules apply. Please consult your tax advisor for detailed information about a Funds tax consequences for
you. See Taxation in the SAI for more information.

Premium/Discount Information

The Trusts website has information about the premiums and discounts for each Fund. Premiums or discounts are the differences between the NAV and
market price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the NAV. A discount is the amount that a Fund is trading below the NAV.

Under a Rule 12b-1 Distribution Plan (the Plan) adopted by the Board, a Fund may pay its distributor and financial intermediaries, such as broker-dealers and investment advisors, up to 0.25%
on an annualized basis of the average daily net assets of each Fund as reimbursement or compensation for distribution related activities with respect to that Fund. Because these fees are paid out of a Funds assets on an on-going basis, over
time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. For the prior fiscal year, no payments were made by any Fund under the Plan.

You can find additional information about the Fund in its current Statement of Additional Information (SAI),
[ ], as supplemented [ ], which has been filed electronically with the Securities and Exchange Commission
(SEC) and is incorporated by reference into, and is legally a part of, this Prospectus. A copy of the Statement of Additional Information is available, free of charge, online at proshares.com. You may also receive a free copy of the SAI
or make inquiries to ProShares by writing us at the address set forth above or calling us toll-free at the telephone number set forth above.

You can find other information about ProShares on the SECs website (www.sec.gov) or you can get copies of this information after payment of a
duplicating fee by electronic request at publicinfo@sec.gov or by writing to the Public Reference Section of the SEC, Washington, D.C. 20549-0102. Information about ProShares, including their SAI, can be reviewed and copied at the SECs Public
Reference Room in Washington, D.C. For information on the Public Reference Room, call the SEC at (202) 551-8090.

This Statement of Additional Information (SAI) is not a prospectus. It should be read in conjunction with the
Prospectus of ProShares Trust dated October 1, 2011, as supplemented, the Prospectus dated January 25, 2012 for the German Sovereign / Sub-Sovereign ETF, as supplemented, the Prospectus dated March 29, 2012 for the UltraPro MSCI Emerging Markets,
the UltraPro 20+ Year Treasury, the UltraPro Short MSCI Emerging Markets and the UltraPro Short 20+ Year Treasury and the Prospectus dated
[ ] for the Merger Arbitrage and the Listed Private Equity (the Prospectuses), which incorporate this SAI by
reference. A copy of each Prospectus and a copy of the Annual Report to shareholders for the Funds that have completed a fiscal year are available, without charge, upon request to the address above, by telephone at the number above, or on the
Trusts website at www.proshares.com. The Financial Statements and Notes contained in the Annual Report to Shareholders for the fiscal year ended May 31, 2011 are incorporated by reference into and are deemed part of this SAI. The
principal U.S. national stock exchange on which all Funds (except those noted below) identified in this SAI are listed is the NYSE Arca. The Ultra Nasdaq Biotechnology, UltraShort Nasdaq Biotechnology, UltraProQQQ and UltraPro Short QQQ are listed
on The NASDAQ Stock Market.

For ease of use, certain terms or names that are used in this SAI have been shortened or abbreviated. A list of many of these terms and their corresponding full names or definitions can be found below. An
investor may find it helpful to review the terms and names before reading the SAI.

Term

Definition

1933 Act

Securities Act of 1933, as amended

1934 Act

Securities Exchange Act of 1934, as amended

1940 Act

Investment Company Act of 1940, as amended

The Advisor or ProShare Advisors

ProShare Advisors LLC

Board of Trustees or Board

Board of Trustees of ProShares Trust

CFTC

U.S. Commodity Futures Trading Commission

Code or Internal Revenue Code

Internal Revenue Code of 1986, as amended

Distributor or SEI

SEI Investments Distribution Co.

Exchange

Fund(s)

NYSE Arca or The NASDAQ Stock Market

One or more of the series of the Trust identified on the front cover of this SAI

Independent Trustee(s)

Trustees who are not Interested Persons of the Advisor or Trust as defined under Section 2(a)(19) of the 1940 Act

The Trusts Statement of Additional Information dated October 1, 2011, as supplemented on [ ], 2012

SEC

U.S. Securities and Exchange Commission

Shares

The shares of the Funds

Trust

ProShares Trust

Trustee(s)

One or more of the trustees of the Trust

PROSHARES TRUST

The Trust is a Delaware statutory trust and is registered with the SEC as an open-end management investment company under the 1940 Act.
The Trust was organized on May 29, 2002 and consists of multiple series, including the [116] Funds listed on the front cover of this SAI. Certain of the Trusts series, not listed on the front cover of this SAI, are not discussed in this
SAI.

Other funds may be added in the future. Each of the Funds is registered as a non-diversified management investment
company.

The Funds are exchange-traded funds (ETFs) and the Shares are listed on an Exchange. The Shares trade on
the relevant Exchange at market prices that may differ to some degree from the Shares net asset values (NAV). Each Fund issues and redeems Shares on a continuous basis at NAV in large, specified numbers of Shares called
Creation Units. Creation Units of the Ultra ProShares, Alpha ProShares and Specialty ProShares Funds are issued and redeemed in-kind for securities included in the relevant index (for purposes of this SAI, the term index
includes the Merrill Lynch Factor Model  Exchange Series benchmark) and an amount of cash or entirely in cash, in each case at the discretion of the Advisor. Creation Units of the Short ProShares Funds are purchased and redeemed in cash.
Except when aggregated in Creation Units, Shares are not redeemable securities of the Funds. Retail investors, therefore, generally will not be able to purchase the Shares directly. Rather, most retail investors will purchase Shares in the secondary
market with the assistance of a broker.

Reference is made to the Prospectuses for a discussion of the investment objectives
and policies of each of the Funds. The discussion below supplements, and should be read in conjunction with, the applicable Prospectus. Portfolio management is provided to the Funds by ProShare Advisors, a Maryland limited liability company with
offices at 7501 Wisconsin Avenue, Suite 1000, Bethesda, Maryland 20814.

The investment restrictions of the Funds specifically
identified as fundamental policies may not be changed without the affirmative vote of at least a majority of the outstanding voting securities of that Fund, as defined in the 1940 Act. The investment objectives and all other investment policies of
the Funds not specified as fundamental (including the index of a Fund) may be changed by the Trustees without the approval of shareholders.

It is the policy of the Funds to pursue their investment objectives of correlating with
their benchmarks regardless of market conditions, to attempt to remain nearly fully invested and not to take defensive positions.

The investment techniques and strategies discussed below may be used by a Fund if, in the opinion of the Advisor, the techniques or strategies may be advantageous to the Fund. A Fund is free to reduce or
eliminate its use of any of these techniques or strategies without changing the Funds fundamental policies. There is no assurance that any of the techniques or strategies listed below, or any of the other methods of investment available to a
Fund, will result in the achievement of the Funds objectives. Also, there can be no assurance that any Fund will grow to, or maintain, an economically viable size, in which case management may determine to liquidate the Fund at a time that may
not be opportune for shareholders.

The use of the term favorable market conditions in this SAI is intended to
convey rising markets for the Ultra ProShares, Alpha ProShares and Specialty ProShares Funds and falling markets for the Short ProShares Funds. The use of the term adverse market conditions is intended to convey falling markets for the
Ultra ProShares, Alpha ProShares and Specialty ProShares Funds, and rising markets for the Short ProShares Funds.

Exchange Listing and
Trading

There can be no assurance that the requirements of the Exchange necessary to maintain the listing of Shares of any
Fund will continue to be met. The Exchange may remove a Fund from listing under certain circumstances.

As in the case of all
equities traded on the Exchange, the brokers commission on transactions in the Funds will be based on negotiated commission rates at customary levels for retail customers.

In order to provide current Share pricing information, the Exchange disseminates an updated Indicative Optimized Portfolio Value
(IOPV) for each Fund. The Trust is not involved in or responsible for any aspect of the calculation or dissemination of the IOPVs and makes no warranty as to the accuracy of the IOPVs. IOPVs are expected to be disseminated on a per Fund
basis every 15 seconds during regular trading hours of the Exchange.

INVESTMENT POLICIES, TECHNIQUES AND
RELATED RISKS

General

A Fund may consider changing its index at any time, including if, for example, the current index becomes unavailable; the Board of Trustees believes that the current index no longer serves the investment
needs of a majority of shareholders or that another index may better serve their needs; or if the financial or economic environment makes it difficult for the Funds investment results to correspond sufficiently to its current index. If
believed appropriate, a Fund may specify an index for itself that is leveraged or proprietary. Of course, there can be no assurance that a Fund will achieve its objective.

Fundamental securities analysis is not used by ProShare Advisors in seeking to correlate a Funds investment returns with its index.
Rather, ProShare Advisors primarily uses a mathematical approach to determine the investments a Fund makes and techniques it employs. While ProShare Advisors attempts to minimize any tracking error, certain factors tend to cause a
Funds investment results to vary from a perfect correlation to its index. See Special Considerations below for additional details.

For purposes of this SAI, the word invest refers to a Fund directly and indirectly investing in securities or other instruments. Similarly, when used in this SAI, the word
investment refers to a Funds direct and indirect investments in securities and other instruments. For example, the Funds typically invest indirectly in securities or instruments by using financial instruments with economic exposure
similar to those securities or instruments.

Additional information concerning the Funds, their investments policies and
techniques, and the securities and financial instruments in which they may invest is set forth below.

Name Policies

The Ultra ProShares, Alpha ProShares and Specialty ProShares Funds subject to the SEC names rule (Rule 35d-1 under the 1940 Act have adopted
non-fundamental investment policies obligating them to commit, under normal market conditions, at least 80% of their assets to securities contained in its index and/or financial instruments with similar economic characteristics. The Short ProShares
Funds subject to the SEC names rule (Rule 35d-1 under the 1940 Act)

have adopted non-fundamental investment policies obligating them to commit, under normal market conditions, at least 80% of their assets to investments that, in combination, have economic
characteristics that correlate to the inverse of its index. For purposes of each such investment policy, assets includes a Funds net assets, as well as amounts borrowed for investment purposes, if any. In addition, for purposes of
such an investment policy, assets includes not only the amount of a Funds net assets attributable to investments directly providing investment exposure to the type of investments suggested by its name (e.g., the value of stocks, or
the value of derivative instruments such as futures, options or options on futures), but also the amount of the Funds net assets that are segregated on the Funds books and records or being used as collateral, as required by applicable
regulatory guidance, or otherwise used to cover such investment exposure. The Board has adopted a policy to provide investors with at least 60 days notice prior to changes in a Funds name policy.

Equity Securities

The
market price of securities owned by a Fund may go up or down, sometimes rapidly or unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets.
The value of a security may decline due to general market conditions not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest
or currency rates, or adverse investor sentiment generally. They may also decline due to factors that affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry.
The value of a security may also decline for a number of reasons that directly relate to the issuer, such as management performance, financial leverage and reduced demand for the issuers goods or services. Equity securities generally have
greater price volatility than fixed-income securities, and the Funds are particularly sensitive to these market risks.

Foreign Securities

Certain of the Funds may invest in foreign issuers, securities traded principally in securities markets outside the United
States, U.S.-traded securities of foreign issuers and/or securities denominated in foreign currencies (together foreign securities). Also, each Fund may seek exposure to foreign securities by investing in Depositary Receipts (discussed
below). Foreign securities may involve special risks due to foreign economic, political and legal developments, including unfavorable changes in currency exchange rates, exchange control regulation (including currency blockage), expropriation or
nationalization of assets, confiscatory taxation, taxation of income earned in foreign nations, withholding of portions of interest and dividends in certain countries and the possible difficulty of obtaining and enforcing judgments against foreign
entities. Default in foreign government securities, political or social instability or diplomatic developments could affect investments in securities of issuers in foreign nations. In addition, in many countries there is less publicly available
information about issuers than is available in reports about companies in the United States. Foreign companies are not generally subject to uniform accounting, auditing and financial reporting standards, and auditing practices and requirements may
differ from those applicable to U.S. companies. The growing interconnectivity of global economies and financial markets has increased the possibilities that conditions in any one country or region could have an adverse impact on issuers of
securities in a different country or region.

In addition, the securities of some foreign governments, companies and
securities markets are less liquid, and may be more volatile, than comparable domestic government securities, companies and markets. Some foreign investments may be subject to brokerage commissions and fees that are higher than those applicable to
U.S. investments. A Fund also may be affected by different settlement practices or delayed settlements in some foreign markets. Furthermore, some foreign jurisdictions regulate and limit U.S. investments in the securities of certain issuers.

A Funds foreign investments that are related to developing (or emerging market) countries may be
particularly volatile due to the aforementioned factors.

A Fund may value its financial instruments based upon foreign
securities by using market prices of domestically-traded financial instruments with comparable foreign securities market exposure.

Exposure to Securities or Issuers in Specific Foreign Countries or Regions

Some Funds focus their investments in particular foreign geographical regions or countries. In addition to the risks of investing in
foreign securities discussed above, the investments of such Funds may be exposed to special risks that are specific to the country or region in which the investments are focused. Furthermore, Funds with such a focus may be subject to additional
risks associated with events in nearby countries or regions or those of a countrys principal trading partners. Additionally, some Funds have an investment focus in a foreign country or region that is an emerging market and, therefore, are
subject to heightened risks relative to Funds that focus their investments in more developed countries or regions.

The Funds may purchase or sell futures contracts and options thereon as a substitute for a comparable market position in the underlying
securities or to satisfy regulatory requirements. Cash-settled futures contracts obligate the seller to deliver (and the purchaser to accept) an amount of cash equal to a specific dollar amount (the contract multiplier) multiplied by the difference
between the final settlement price of a specific futures contract and the price at which the agreement is made. No physical delivery of the underlying asset is made. A physical-settlement futures contract generally obligates the seller to deliver
(and the purchaser to take delivery of) the specified asset on the expiration date of the contract.

The Funds generally
choose to engage in closing or offsetting transactions before final settlement of a futures contract wherein a second identical futures contract is sold to offset a long position (or bought to offset a short position). In such cases, the obligation
is to deliver (or take delivery of) cash equal to a specific dollar amount (the contract multiplier) multiplied by the difference between the price of the offsetting transaction and the price at which the original contract was entered into. If the
original position entered into is a long position (futures contract purchased) there will be a gain (loss) if the offsetting sell transaction is done at a higher (lower) price, inclusive of commissions. If the original position entered into is a
short position (futures contract sold) there will be a gain (loss) if the offsetting buy transaction is done at a lower (higher) price, inclusive of commissions.

Whether a Fund realizes a gain or loss from futures activities depends generally upon movements in the underlying currency, commodity, security or index. The extent of the Funds loss from an
unhedged short position in futures contracts is potentially unlimited. The Funds may engage in related closing transactions with respect to options on futures contracts. The CFTC has eliminated limitations on futures trading by certain regulated
entities, including registered investment companies, and consequently registered investment companies may engage in unlimited futures transactions and options thereon provided that the investment advisor to the company claims an exclusion from
regulation as a commodity pool operator. In connection with its management of the Trust, the Advisor has claimed such an exclusion from registration as a commodity pool trading adviser under the Commodity Exchange Act, as amended (the
CEA). Therefore, neither the Trust nor the Advisor is subject to the registration and regulatory requirements of the CEA. There are no limitations on the extent to which each Fund may engage in transactions involving futures and options
thereon, except as set forth in the Funds Prospectus and this SAI. The foregoing is as of the date of this SAI, and may change in the future.

Upon entering into a futures contract, each Fund will be required to deposit with the broker an amount of cash or cash equivalents in the range of approximately 5% to 10% of the contract amount (this
amount is subject to change by the exchange on which the contract is traded). This amount, known as initial margin, is in the nature of a performance bond or good faith deposit on the contract and is returned to the Fund upon termination
of the futures contract, assuming all contractual obligations have been satisfied. Subsequent payments, known as variation margin, to and from the broker will be made daily as the price of the index underlying the futures contract
fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as marking-to-market. At any time prior to expiration of a futures contract, a Fund may elect to close its position by taking
an opposite position, which will operate to terminate the Funds existing position in the contract.

When a Fund
purchases or sells a futures contract, or buys or sells an option thereon, the Fund covers its position. To cover its position, a Fund may enter into an offsetting position or segregate with its custodian bank or on the books and records
of the Fund (and mark-to-market on a daily basis) cash or liquid instruments that, when added to any amounts deposited with a futures commission merchant as margin, are equal to the market value of the futures contract or otherwise cover
its position. When required by law, a Fund will segregate liquid assets in an amount equal to the value of the Funds total assets committed to the consummation of such futures contracts. Obligations under futures contracts so covered will not
be considered senior securities for purposes of a Funds investment restriction concerning senior securities.

For
example, a Fund may cover its long position in a futures contract by purchasing a put option on the same futures contract with a strike price (i.e., an exercise price) as high or higher than the price of the futures contract, or, if the
strike price of the put is less than the price of the futures contract, the Fund will earmark/segregate cash or liquid instruments equal in value to the difference between the strike price of the put and the price of the future. A Fund also may
cover its long position in a futures contract by taking a short position in the instruments underlying the futures contract, or by taking positions in instruments whose prices of which are expected to move relatively consistently
inversely with the futures contract. A Fund may cover its short position in a futures contract by taking a long position in the instruments underlying the futures contract, or by taking positions in instruments, the prices of which are
expected to move relatively consistently to the futures contract. A Fund may also cover its short position in a futures contract by purchasing a call option on the

same futures contract with a strike price (i.e., an exercise price) as low or lower than the price of the futures contract, or, if the strike price of the call is greater than the price of the
futures contract, the Fund will earmark or segregate cash or liquid instruments equal in value to the difference between the strike price of the call and the price of the future. A Fund may cover its long or short positions in futures by earmarking
or segregating with its custodian bank or on the books and records of the Funds (and mark-to-market on a daily basis) cash or liquid instruments that, when added to any amounts deposited with a futures commission merchant as margin, are equal to the
market value of the futures contract or otherwise cover its position.

A Fund may cover its sale of a call option
on a futures contract by taking a long position in the underlying futures contract at a price less than or equal to the strike price of the call option, or, if the long position in the underlying futures contract is established at a price greater
than the strike price of the written (sold) call, the Fund will segregate or maintain in a segregated account liquid instruments equal in value to the difference between the strike price of the call and the price of the future. A Fund may also cover
its sale of a call option by taking positions in instruments, the prices of which are expected to move relatively consistently with the call option. A Fund may cover its sale of a put option on a futures contract by taking a short position in the
underlying futures contract at a price greater than or equal to the strike price of the put option, or, if the short position in the underlying futures contract is established at a price less than the strike price of the written put, the Fund will
segregate cash or liquid instruments equal in value to the difference between the strike price of the put and the price of the future. A Fund may also cover its sale of a put option by taking positions in instruments the prices of which are expected
to move relatively consistently with the put option. Obligations under futures contracts so covered will not be considered senior securities for purposes of a Funds investment restriction concerning senior securities.

The primary risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures
and the market value of the underlying securities, and the possibility of an illiquid market for a futures contract. Although each Fund intends to sell futures contracts only if there is an active market for such contracts, no assurance can be given
that a liquid market will exist for any particular contract at any particular time. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has
been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified periods during the day. Futures contract prices could move to the limit for several consecutive trading days
with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of
adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk that the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national securities
exchange with an active and liquid secondary market.

Forward Contracts

The Funds may enter into forward contracts for purposes of attempting to gain exposure to an index or asset without actually purchasing
such asset (or shorting such asset), or to hedge a position. Forward contracts are two-party contracts pursuant to which one party agrees to pay the counterparty a fixed price for an agreed-upon amount of an underlying asset or the cash value of the
underlying asset at an agreed-upon date. When required by law, a Fund will segregate liquid assets in an amount equal to the value of the Funds total assets committed to the consummation of such forward contracts. Obligations under forward
contracts so covered will not be considered senior securities for purposes of a Funds investment restriction concerning senior securities. Forward contracts with terms greater than seven days may be considered to be illiquid for purposes of
the Funds illiquid investment limitations. A Fund will not enter into a forward contract unless the Advisor believes that the other party to the transaction is creditworthy. A Fund bears the risk of loss of the amount expected to be received
under a forward contract in the event of the default or bankruptcy of a counterparty. If such a default occurs, a Fund will have contractual remedies pursuant to the forward contract, but such remedies may be subject to bankruptcy and insolvency
laws, which could affect the Funds rights as a creditor.

Options

The Funds may buy and write (sell) options for the purpose of realizing their investment objective. By buying a call option, a Fund has
the right, in return for a premium paid during the term of the option, to buy the asset underlying the option at the exercise price. By writing a call option a Fund becomes obligated during the term of the option to sell the asset underlying the
option at the exercise price if the option is exercised. By buying a put option, a Fund has the right, in return for a premium paid during the term of the option, to sell the asset underlying the option at the exercise price. By writing a put
option, a Fund becomes obligated during the term of the option to purchase the asset underlying the option at the exercise price if the option is exercised. During the term of the option, the writer may be assigned an exercise notice by the
broker-dealer through whom the option was sold. The exercise notice would require the writer to deliver, in the case of a call, or take delivery of, in the case of a put, the underlying asset against payment of the exercise price. This obligation
terminates upon expiration of the option, or at such earlier time that the writer effects a closing purchase transaction by

purchasing an option covering the same underlying asset and having the same exercise price and expiration date as the one previously sold. Once an option has been exercised, the writer may not
execute a closing purchase transaction. To secure the obligation to deliver the underlying asset in the case of a call option, the writer of a call option is required to deposit in escrow the underlying security or other assets in accordance with
the rules of the Options Clearing Corporation (the OCC), an institution created to interpose itself between buyers and sellers of options. The OCC assumes the other side of every purchase and sale transaction on an exchange and, by doing
so, gives its guarantee to the transaction. When writing call options on an asset, a Fund may cover its position by owning the underlying asset on which the option is written. Alternatively, the Fund may cover its position by owning a call option on
the underlying asset, on a share-for-share basis, which is deliverable under the option contract at a price no higher than the exercise price of the call option written by the Fund or, if higher, by owning such call option and depositing and
segregating cash or liquid instruments equal in value to the difference between the two exercise prices. In addition, a Fund may cover its position by segregating cash or liquid instruments equal in value to the exercise price of the call option
written by the Fund. When a Fund writes a put option, the Fund will segregate with its custodian bank cash or liquid instruments having a value equal to the exercise value of the option. The principal reason for a Fund to write call options on
assets held by the Fund is to attempt to realize, through the receipt of premiums, a greater return than would be realized on the underlying assets alone.

If a Fund that writes an option wishes to terminate the Funds obligation, the Fund may effect a closing purchase transaction. The Fund accomplishes this by buying an option of the same
series as the option previously written by the Fund. The effect of the purchase is that the writers position will be canceled by the OCC. However, a writer may not effect a closing purchase transaction after the writer has been notified of the
exercise of an option. Likewise, a Fund which is the holder of an option may liquidate its position by effecting a closing sale transaction. The Fund accomplishes this by selling an option of the same series as the option previously
purchased by the Fund. There is no guarantee that either a closing purchase or a closing sale transaction can be effected. If any call or put option is not exercised or sold, the option will become worthless on its expiration date. A Fund will
realize a gain (or a loss) on a closing purchase transaction with respect to a call or a put option previously written by the Fund if the premium, plus commission costs, paid by the Fund to purchase the call or put option to close the transaction is
less (or greater) than the premium, less commission costs, received by the Fund on the sale of the call or the put option. The Fund also will realize a gain if a call or put option which the Fund has written lapses unexercised, because the Fund
would retain the premium.

Although certain securities exchanges attempt to provide continuously liquid markets in which holders and writers
of options can close out their positions at any time prior to the expiration of the option, no assurance can be given that a market will exist at all times for all outstanding options purchased or sold by a Fund. If an options market were to become
unavailable, the Fund would be unable to realize its profits or limit its losses until the Fund could exercise options it holds, and the Fund would remain obligated until options it wrote were exercised or expired. Reasons for the absence of liquid
secondary market on an exchange include the following: (i) there may be insufficient trading interest in certain options; (ii) restrictions may be imposed by an exchange on opening or closing transactions or both; (iii) trading halts,
suspensions or other restrictions may be imposed with respect to particular classes or series of options; (iv) unusual or unforeseen circumstances may interrupt normal operations on an exchange; (v) the facilities of an exchange or the OCC
may not at all times be adequate to handle current trading volume; or (vi) one or more exchanges could, for economic or other reasons, decide or be compelled at some future date to discontinue the trading of options (or a particular class or
series of options) and those options would cease to exist, although outstanding options on that exchange that had been issued by the OCC as a result of trades on that exchange would continue to be exercisable in accordance with their terms.

Index Options

The Funds may purchase and write options on stock indexes to create investment exposure consistent with their investment objectives, to
hedge or limit the exposure of their positions, or to create synthetic money market positions.

A stock index fluctuates with
changes in the market values of the stocks included in the index. Options on stock indexes give the holder the right to receive an amount of cash upon exercise of the option. Receipt of this cash amount will depend upon the closing level of the
stock index upon which the option is based being greater than (in the case of a call) or less than (in the case of a put) the exercise price of the option. The amount of cash received, if any, will be the difference between the closing price of the
index and the exercise price of the option, multiplied by a specified dollar multiple. The writer (seller) of the option is obligated, in return for the premiums received from the purchaser of the option, to make delivery of this amount to the
purchaser. All settlements of index options transactions are in cash.

Index options are subject to substantial risks,
including the risk of imperfect correlation between the option price and the value of the underlying securities composing the stock index selected and the risk that there might not be a liquid secondary market for the option. Because the value of an
index option depends upon movements in the level of the index rather than the price of a particular stock, whether a Fund will realize a gain or loss from the purchase or writing (sale) of options on an index depends upon movements in the level of
stock prices in the stock market generally or, in the case of certain indexes, in an industry or market segment, rather than upon movements in the price of a particular stock. This

requires different skills and techniques than are required for predicting changes in the price of individual stocks. A Fund will not enter into an option position that exposes the Fund to an
obligation to another party, unless the Fund either (i) owns an offsetting position in securities or other options and/or (ii) earmarks or segregates with the Funds custodian bank cash or liquid instruments that, when added to the
premiums deposited with respect to the option, are equal to the market value of the underlying stock index not otherwise covered.

The Funds may engage in transactions in stock index options listed on national securities exchanges or traded in the over-the-counter (OTC) market as an investment vehicle for the purpose of
realizing the Funds investment objective. The exercising holder of an index option receives, instead of a security, cash equal to the difference between the closing price of the securities index and the exercise price of the option.

Some stock index options are based on a broad market index such as the S&P 500®, the New York Stock Exchange, Inc. (NYSE) Composite Index or on a narrower index such as the
Philadelphia Stock Exchange Over-the-Counter Index. Options currently are traded on the Chicago Board Options Exchange (the CBOE) and other exchanges (Options Exchanges). Purchased OTC options and the cover for written OTC
options will be subject to the relevant Funds 15% limitation on investment in illiquid securities. See Illiquid Securities below. When required by law, a Fund will segregate liquid assets in an amount equal to the value of the
Funds total assets committed to the consummation of such options. Obligations under options so covered will not be considered senior securities for purposes of a Funds investment restriction concerning senior securities.

Each of the Options Exchanges has established limitations governing the maximum number of call or put options on the same index which may
be bought or written (sold) by a single investor, whether acting alone or in concert with others (regardless of whether such options are written on the same or different Options Exchanges or are held or written on one or more accounts or through one
or more brokers). Under these limitations, option positions of all investment companies advised by the same investment advisor are combined for purposes of these limits. Pursuant to these limitations, an Options Exchange may order the liquidation of
positions and may impose other sanctions or restrictions. These position limits may restrict the number of listed options which a Fund may buy or sell. The Advisor intends to comply with all limitations.

Swap Agreements

A
principal investment strategy of the Funds is to invest in financial instruments whose value is derived from the value of an underlying asset, interest rate or index, which may include swap agreements, and, for the Short ProShares, which may be the
primary or sole investment strategy (along with selling securities short). The Funds may enter into swap agreements for purposes of attempting to gain exposure to an underlying asset without actually purchasing such asset, or to hedge a position.
Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard swap transaction, two parties agree to exchange the returns (or differentials
in rates of return) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or swapped between the parties are calculated with respect to a notional amount, i.e., the
return on or increase in value of a particular dollar amount invested in a basket of securities or an ETF representing a particular index or group of securities. Forms of swap agreements include interest rate caps, under which, in return
for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or cap; interest rate floors, under which, in return for a premium, one party agrees to make payments to the other
to the extent that interest rates fall below a specified level, or floor; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements
exceeding given minimum or maximum levels.

Most swap agreements entered into by the Funds calculate and settle the
obligations of the parties to the agreement on a net basis. Consequently, a Funds current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement
based on the relative values of the positions held by each party to the agreement (the net amount).

A Funds
current obligations under a swap agreement will be accrued daily (offset against any amounts owed to the Fund) and any accrued but unpaid net amounts owed to a swap counterparty will be covered by segregating or earmarking assets determined to be
liquid. Obligations under swap agreements so covered will not be construed to be senior securities for purposes of a Funds investment restriction concerning senior securities. Swap agreements with terms greater than seven days may be
considered to be illiquid for purposes of the Funds illiquid investment limitations. A Fund will not enter into any swap agreement unless the Advisor believes that the other party to the transaction is creditworthy. A Fund bears the risk of
loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. If such a default occurs, a Fund will have contractual remedies pursuant to the swap agreements, but such
remedies may be subject to bankruptcy and insolvency laws that could affect the Funds right as a creditor.

Each Fund may enter into swap agreements to invest in a market without owning or taking
physical custody of securities in circumstances in which direct investment is restricted for legal reasons or is otherwise impracticable. The counterparty to any swap agreement will typically be a major global financial institution. On a long swap,
the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap agreement would have increased in value had it been invested in the particular underlying assets (e.g. securities comprising the
relevant index), plus an amount equal to any dividends or interest that would have been received on those assets. The Fund will agree to pay to the counterparty a floating rate of interest on the notional amount of the swap agreement plus the
amount, if any, by which the notional amount would have decreased in value had it been invested in such assets plus, in certain instances, commissions or trading spreads on the notional amount. Therefore, the return to the Fund on a long swap
agreement should be the gain or loss on the notional amount plus dividends or interest on the assets less the interest paid by the Fund on the notional amount. As a trading technique, the Advisor may substitute physical securities with a swap
agreement having risk characteristics substantially similar to the underlying securities.

Swap agreements typically are
settled on a net basis, which means that the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of a swap agreement or
periodically during its term. The timing and character of any income, gain or loss recognized by a Fund on the payment or payments made or received on a swap will vary depending upon the terms of the particular swap. Swap agreements do not involve
the delivery of securities or other underlying assets. Accordingly, the risk of loss with respect to swap agreements is limited to the net amount of payments that a Fund is contractually obligated to make. If the other party to a swap agreement
defaults, a Funds risk of loss consists of the net amount of payments that such Fund is contractually entitled to receive, if any. The net amount of the excess, if any, of a Funds obligations over its entitlements with respect to each
equity swap will be accrued on a daily basis and an amount of cash or liquid assets, having an aggregate NAV at least equal to such accrued excess will be earmarked or segregated by a Funds custodian. Inasmuch as these transactions are entered
into for hedging purposes or are offset by earmarked or segregated cash or liquid assets, as permitted by applicable law, the Funds and their Advisor believe that these transactions do not constitute senior securities within the meaning of the 1940
Act, and, accordingly, will not treat them as being subject to a Funds borrowing restrictions.

The use of swaps is a
highly specialized activity which involves investment techniques and risks in addition to, and in some cases different from, those associated with ordinary portfolio securities transactions. The primary risks associated with the use of swap
agreements are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the inability of counterparties to perform. The Advisor, under the supervision of the
Board of Trustees, is responsible for determining and monitoring the liquidity of the Funds transactions in swap agreements.

In the normal course of business, a Fund enters into ISDA agreements with certain counterparties for derivative transactions. These agreements contain among other conditions, events of default and
termination events, and various covenants and representations. Certain of the Funds ISDA agreements contain provisions that require the Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of the
Funds NAV over specific periods of time, which may or may not be exclusive of redemptions. If the Fund were to trigger such provisions and have open derivative positions, at that time counterparties to the ISDA agreements could elect to
terminate such ISDA agreements and request immediate payment in an amount equal to the net liability positions, if any, under the relevant ISDA agreement. Pursuant to the terms of its ISDA agreements, the Fund will have already collateralized its
liability under such agreements, in some cases only in excess of certain threshold amounts. The Funds seek to mitigate risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to
market daily, in an amount approximately equal to what the counterparty owes the Fund, although the Funds may not always be successful. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will
be exposed to the risks described above, including possible delays in recovering amounts as a result of bankruptcy proceedings.

The swap market has grown substantially in recent years with a large number of banks and investment banking firms acting both as
principals and as agents utilizing standardized swap documentation. As a result, the swap market has become relatively liquid in comparison with the markets for other similar instruments which are traded in the OTC market. The Advisor, under the
supervision of the Board of Trustees, is responsible for determining and monitoring the liquidity of the Funds transactions in swap agreements.

The use of swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. The foregoing is as of the
date of this SAI, and may change in the future.

The Funds may engage in short sales transactions. A short sale is a transaction in which a Fund sells a security it does not own in anticipation that the market price of that security will decline. To
complete such a transaction, a Fund must borrow the security to make delivery to the buyer. The Fund is then obligated to replace the security borrowed by borrowing the same security from another lender, purchasing it at the market price at the time
of replacement or paying the lender an amount equal to the cost of purchasing the security. The price at such time may be more or less than the price at which the security was sold by the Fund. Until the security is replaced, the Fund is required to
repay the lender any dividends it receives, or interest which accrues, during the period of the loan. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold. The net proceeds of the
short sale will be retained by the broker, to the extent necessary to meet the margin requirements, until the short position is closed out. A Fund also will incur transaction costs in effecting short sales.

The Funds may make short sales against the box, i.e., when a security identical to or convertible or exchangeable into one
owned by a Fund is borrowed and sold short. Whenever a Fund engages in short sales, it earmarks or segregates liquid securities or cash in an amount that, when combined with the amount of collateral deposited with the broker in connection with the
short sale, equals the current market value of the security sold short. The earmarked or segregated assets are marked-to-market daily.

A Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. A Fund will
realize a gain if the price of the security declines in price between those dates. The amount of any gain will be decreased, and the amount of any loss increased, by the amount of the premium, dividends or interest a Fund may be required to pay, if
any, in connection with a short sale.

Short QQQ, UltraShort QQQ, UltraPro Short QQQ, Ultra QQQ and UltraPro QQQ will not sell
short the equity securities of issuers contained in the NASDAQ-100 Index. Ultra and UltraShort Nasdaq Biotechnology will not sell short the securities of issues contained in the Nasdaq Biotechnology Index.

Depositary Receipts

The
Funds may invest in depository receipts, including American Depositary Receipts (ADRs). ADRs represent the right to receive securities of foreign issuers deposited in a domestic bank or a correspondent bank. For many foreign securities,
U.S. dollar-denominated ADRs, which are traded in the United States on exchanges or OTC, are issued by domestic banks. ADRs do not eliminate all the risk inherent in investing in the securities of foreign issuers. However, by investing in ADRs
rather than directly in foreign issuers stock outside the U.S., the Funds can avoid certain risks related to investing in foreign securities on non-U.S. markets.

In general, there is a large, liquid market in the United States for many ADRs. The information available for ADRs is subject to the accounting, auditing and financial reporting standards of the domestic
market or exchange on which they are traded, which standards are more uniform and more exacting than those to which many foreign issuers may be subject. Certain ADRs, typically those denominated as unsponsored, require the holders thereof to bear
most of the costs of such facilities, while issuers of sponsored facilities normally pay more of the costs thereof. The depository of an unsponsored facility frequently is under no obligation to distribute shareholder communications received from
the issuer of the deposited securities or to pass through the voting rights to facility holders with respect to the deposited securities, whereas the depository of a sponsored facility typically distributes shareholder communications and passes
through the voting rights.

The Funds may invest in both sponsored and unsponsored ADRs. Unsponsored ADR programs are
organized independently and without the cooperation of the issuer of the underlying securities. As a result, available information concerning the issuers may not be as current for sponsored ADRs, and the prices of unsponsored depository receipts may
be more volatile than if such instruments were sponsored by the issuer.

The Funds may also invest in Global Depositary
Receipts (GDRs). GDRs are receipts for shares in a foreign-based corporation traded in capital markets around the world. While ADRs permit foreign corporations to offer shares to American citizens, GDRs allow companies in Europe, Asia,
the United States and Latin American to offer shares in many markets around the world.

U.S. Government Securities

The Funds may invest in U.S. government securities in pursuit of their investment objectives, as cover for the investment
techniques these Funds employ, or for liquidity purposes.

U.S. government securities include U.S. Treasury securities, which are backed by the full
faith and credit of the U.S. Treasury and which differ only in their interest rates, maturities, and times of issuance. U.S. Treasury bills have initial maturities of one year or less; U.S. Treasury notes have initial maturities of one to ten years;
and U.S. Treasury bonds generally have initial maturities of greater than ten years. In addition, U.S. government securities include Treasury Inflation-Protected Securities (TIPS). TIPS are inflation-protected public obligations of the
U.S. Treasury. These securities are designed to provide inflation protection to investors. TIPS are income-generating instruments whose interest and principal payments are adjusted for inflation  a sustained increase in prices that erodes the
purchasing power of money. The inflation adjustment, which is typically applied monthly to the principal of the bond, follows a designated inflation index such as the Consumer Price Index (CPI). A fixed-coupon rate is applied to the
inflation-adjusted principal so that as inflation rises, both the principal value and the interest payments increase. This can provide investors with a hedge against inflation, as it helps preserve the purchasing power of an investment. Because of
the inflation adjustment feature, inflation-protected bonds typically have lower yields than conventional fixed-rate bonds. In addition, TIPS decline in value when real interest rates rise. However, in certain interest rate environments, such as
when real interest rates are rising faster than nominal interest rates, TIPS may experience greater losses than other fixed income securities with similar duration.

Certain U.S. government securities are issued or guaranteed by agencies or instrumentalities of the U.S. government including, but not limited to, obligations of U.S. government agencies or
instrumentalities, such as the Federal National Mortgage Association (Fannie Mae or FNMA), the Government National Mortgage Association (Ginnie Mae or GNMA),, the Small Business Administration, the
Federal Farm Credit Administration, the Federal Home Loan Banks, Banks for Cooperatives (including the Central Bank for Cooperatives), the Federal Land Banks, the Federal Intermediate Credit Banks, the Tennessee Valley Authority, the Export-Import
Bank of the United States, the Commodity Credit Corporation, the Federal Financing Bank, the Student Loan Marketing Association the National Credit Union Administration and the Federal Agricultural Mortgage Corporation. Some obligations issued or
guaranteed by U.S. government agencies and instrumentalities, including, for example, GNMA pass-through certificates, are supported by the full faith and credit of the U.S. Treasury. On September 7, 2008, FNMA and the Federal Home Loan Mortgage
Corporation (Freddie Mac or FHLMC), a similar U.S. government instrumentality, were placed into conservatorship by their new regulator, the Federal Housing Finance Agency. Simultaneously, the U.S. Treasury made a commitment
of indefinite duration to maintain the positive net worth of both entities. No assurance can be given that the initiatives discussed above with respect to the debt and mortgage-backed securities issued by FNMA and FHLMC will be successful. Other
obligations issued by or guaranteed by federal agencies, such as those securities issued by the FNMA, are supported by the discretionary authority of the U.S. government to purchase certain obligations of the federal agency but are not backed by the
full faith and credit of the U.S. government, while other obligations issued by or guaranteed by federal agencies, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Treasury. While the
U.S. government provides financial support to such U.S. government-sponsored federal agencies, no assurance can be given that the U.S. government will always do so, since the U.S. government is not so obligated by law. U.S. Treasury notes and bonds
typically pay coupon interest semi-annually and repay the principal at maturity. All U.S. government securities are subject to credit risk.

Yields on U.S. government securities depend on a variety of factors, including the general conditions of the money and bond markets, the size of a particular offering, and the maturity of the obligation.
Debt securities with longer maturities tend to produce higher yields and are generally subject to potentially greater capital appreciation and depreciation than obligations with shorter maturities and lower yields. The market value of U.S.
government securities generally varies inversely with changes in market interest rates. An increase in interest rates, therefore, would generally reduce the market value of a Funds portfolio investments in U.S. government securities, while a
decline in interest rates would generally increase the market value of a Funds portfolio investments in these securities.

Repurchase
Agreements

Each of the Funds may enter into repurchase agreements with financial institutions in pursuit of its investment
objectives, as cover for the investment techniques it employs, or for liquidity purposes. Under a repurchase agreement, a Fund purchases a debt security and simultaneously agrees to sell the security back to the seller at a mutually
agreed-upon future price and date, normally one day or a few days later. The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during the purchasers holding period. While the maturities of the
underlying securities in repurchase transactions may be more than one year, the term of each repurchase agreement will always be less than one year. The Funds follow certain procedures designed to minimize the risks inherent in such agreements.
These procedures include effecting repurchase transactions only with large, well-capitalized and well-established financial institutions whose condition will be continually monitored by ProShare Advisors. In addition, the value of the collateral
underlying the repurchase agreement will always be at least equal to the repurchase price, including any accrued interest earned on the repurchase agreement. In the event of a default or bankruptcy by a selling financial institution, a Fund will
seek to liquidate such collateral which could involve certain costs or delays and, to the extent that proceeds from any sale upon a default of the obligation to repurchase were less than the repurchase price, the Fund could suffer a loss. A Fund
also may experience difficulties and incur certain costs in exercising its rights to the collateral and may lose the interest the Fund expected to receive under the repurchase agreement. Repurchase agreements usually are for short periods, such as

one week or less, but may be longer. It is the current policy of the Funds not to invest in repurchase agreements that do not mature within seven days if any such investment, together with any
other illiquid assets held by the Fund, amounts to more than 15% of the Funds total net assets. The investments of each of the Funds in repurchase agreements at times may be substantial when, in the view of ProShare Advisors, liquidity,
investment, regulatory, or other considerations so warrant.

Money Market Instruments

To seek its investment objective, as a cash reserve, for liquidity purposes, or as cover for positions it has taken, a Fund
may invest all or part of its assets in cash or cash equivalents, which include, but are not limited to, short-term money market instruments, U.S. government securities, certificates of deposit, bankers acceptances or repurchase agreements secured
by U.S. government securities.

Other Fixed Income Securities

Each Fund may invest in a wide range of fixed-income securities, which may include foreign sovereign, sub-sovereign and supranational bonds, as well as any other obligations of any rating or maturity such
as foreign and domestic investment grade corporate debt securities and lower-rated corporate debt securities (commonly known as junk bonds). Lower-rated or high yield debt securities include corporate high yield debt securities,
zero-coupon securities, payment-in-kind securities, and STRIPS. Investment grade corporate bonds are those rated BBB or better by S&P or Baa or better by Moodys. Securities rated BBB by S&P are considered investment grade, but
Moodys considers securities rated Baa to have speculative characteristics. The Funds may also invest in unrated securities.

FOREIGN
SOVEREIGN, SUB-SOVEREIGN AND SUPRANATIONAL SECURITIES. The Funds may invest in fixed-rate debt securities issued by non-U.S. governments (foreign sovereign bonds), local governments, entities or agencies of non-U.S. country (foreign sub-sovereign
bonds) as well as by two or more central governments or institutions (supranational bonds). These types of debt securities are typically general obligations of the issuer and are typically guaranteed by such issuer. Despite this guarantee, such debt
securities are subject to default, restructuring or changes to the terms of the debt to the detriment of security holders. Such an event impacting a security held by a Fund would likely have an adverse impact on the Funds returns. Also, due to
demand from other investors, certain types of these debt securities may be less accessible to the capital markets and may be difficult for a Fund to source. This may cause a Fund, at times, to pay a premium to obtain such securities for its own
portfolio. For more information related to foreign sovereign, sub-sovereign and supranational securities, see Foreign Securities and Exposure to Securities or Issuers in Specific Foreign Countries or Regions above.

CORPORATE DEBT SECURITIES. Corporate debt securities are fixed-income securities issued by businesses to finance their operations, although
corporate debt instruments may also include bank loans to companies. Notes, bonds, debentures and commercial paper are the most common types of corporate debt securities, with the primary difference being their maturities and secured or unsecured
status. Commercial paper has the shortest term and is usually unsecured. The broad category of corporate debt securities includes debt issued by domestic or foreign companies of all kinds, including those with small-, mid- and large-capitalizations.
Corporate debt may be rated investment-grade or below investment-grade and may carry variable or floating rates of interest.

Because of the
wide range of types and maturities of corporate debt securities, as well as the range of creditworthiness of its issuers, corporate debt securities have widely varying potentials for return and risk profiles. For example, commercial paper issued by
a large established domestic corporation that is rated investment-grade may have a modest return on principal, but carries relatively limited risk. On the other hand, a long-term corporate note issued by a small foreign corporation from an emerging
market country that has not been rated may have the potential for relatively large returns on principal, but carries a relatively high degree of risk.

Corporate debt securities carry both credit risk and interest rate risk. Credit risk is the risk that a Fund could lose money if the issuer of a corporate debt security is unable to pay interest or repay
principal when it is due. Some corporate debt securities that are rated below investment-grade are generally considered speculative because they present a greater risk of loss, including default, than higher quality debt securities. The credit risk
of a particular issuers debt security may vary based on its priority for repayment. For example, higher ranking (senior) debt securities have a higher priority than lower ranking (subordinated) securities. This means that the issuer might not
make payments on subordinated securities while continuing to make payments on senior securities. In addition, in the event of bankruptcy, holders of higher-ranking senior securities may receive amounts otherwise payable to the holders of more junior
securities. Interest rate risk is the risk that the value of certain corporate debt securities will tend to fall when interest rates rise. In general, corporate debt securities with longer terms tend to fall more in value when interest rates rise
than corporate debt securities with shorter terms.

JUNK BONDS. Junk Bonds generally offer a higher current yield than that
available for higher-grade issues. However, lower-rated securities involve higher risks, in that they are especially subject to adverse changes in general economic conditions and in the industries in which the issuers are engaged, to changes in the
financial condition of the issuers and to

price fluctuations in response to changes in interest rates. During periods of economic downturn or rising interest rates, highly leveraged issuers may experience financial stress that could
adversely affect their ability to make payments of interest and principal and increase the possibility of default. In addition, the market for lower-rated debt securities has expanded rapidly in recent years, and its growth paralleled a long
economic expansion. At times in recent years, the prices of many lower-rated debt securities declined substantially, reflecting an expectation that many issuers of such securities might experience financial difficulties. As a result, the yields on
lower-rated debt securities rose dramatically, but such higher yields did not reflect the value of the income stream that holders of such securities expected, but rather, the risk that holders of such securities could lose a substantial portion of
their value as a result of the issuers financial restructuring or default. There can be no assurance that such declines will not recur. The market for lower-rated debt issues generally is thinner and less active than that for higher quality
securities, which may limit each Funds ability to sell such securities at fair value in response to changes in the economy or financial markets. Adverse publicity and investor perceptions, whether or not based on fundamental analysis, may also
decrease the values and liquidity of lower-rated securities, especially in a thinly traded market. Changes by recognized rating services in their rating of a fixed-income security may affect the value of these investments. Each Fund will not
necessarily dispose of a security when its rating is reduced below its rating at the time of purchase. However, the Advisor will monitor the investment to determine whether continued investment in the security will assist in meeting each Funds
investment objective.

UNRATED DEBT SECURITIES. The Funds may also invest in unrated debt securities. Unrated debt, while not necessarily
lower in quality than rated securities, may not have as broad a market. Because of the size and perceived demand for the issue, among other factors, certain issuers may decide not to pay the cost of getting a rating for their bonds. The
creditworthiness of the issuer, as well as any financial institution or other party responsible for payments on the security, will be analyzed to determine whether to purchase unrated bonds.

COVERED BONDS. The Funds may invest in covered bonds, which are debt securities issued by banks or other credit institutions that are backed by both the issuing institution and underlying pool of
assets that compose the bond (a cover pool). The cover pool for a covered bond is typically composed of residential or commercial mortgage loans or loans to public sector institutions. A covered bond may lose value if the
credit rating of the issuing bank or credit institution is downgraded or the quality of the assets in the cover pool deteriorates.

Borrowing

The Funds may
borrow money for cash management purposes or investment purposes. Borrowing for investment is known as leveraging. Leveraging investments, by purchasing securities with borrowed money, is a speculative technique which increases investment risk, but
also increases investment opportunity. Because substantially all of a Funds assets will fluctuate in value, whereas the interest obligations on borrowings may be fixed, the NAV per Share of the Fund will fluctuate more when the Fund is
leveraging its investments than would otherwise be the case. Moreover, interest costs on borrowings may fluctuate with changing market rates of interest and may partially offset or exceed the returns on the borrowed funds. Under adverse market
conditions, a Fund might have to sell portfolio securities to meet interest or principal payments at a time when investment considerations would not favor such sales.

As required by the 1940 Act, a Fund must maintain continuous asset coverage (total assets, including assets acquired with borrowed funds, less liabilities exclusive of borrowings) of 300% of all amounts
borrowed. If at any time the value of a Funds assets should fail to meet this 300% coverage test, the Fund, within three days (not including weekends and holidays), will reduce the amount of the Funds borrowings to the extent necessary
to meet this 300% coverage requirement. Maintenance of this percentage limitation may result in the sale of portfolio securities at a time when investment considerations would not favor such sale. In addition to the foregoing, the Funds are
authorized to borrow money as a temporary measure for extraordinary or emergency purposes in amounts not in excess of 5% of the value of each Funds total assets. This borrowing is not subject to the foregoing 300% asset coverage requirement.
The Funds are authorized to pledge portfolio securities as ProShare Advisors deems appropriate in connection with any borrowings.

Each Fund may also enter into reverse repurchase agreements, which may be viewed as a form of borrowing, with financial institutions. However, to the extent a Fund covers its repurchase
obligations: such agreement will not be considered to be a senior security and, therefore, will not be subject to the 300% asset coverage requirement otherwise applicable to borrowings by that Fund.

When-Issued and Delayed-Delivery Securities

Each Fund, from time to time, in the ordinary course of business, may purchase securities on a when-issued or delayed-delivery basis (i.e., delivery and payment can take place between a month and 120 days
after the date of the transaction). These securities are subject to market fluctuations and no interest accrues to the purchaser during this period. At the time a Fund makes the commitment to purchase securities on a when-issued or delayed-delivery
basis, the Fund will record the transaction and thereafter reflect the value of the securities, each day, in determining the Funds NAV. Each Fund will not purchase securities on a when-issued or delayed-delivery basis if, as a result, more
than 15% of the Funds net assets would be so invested. At the time of delivery of the securities, the value of the securities may be more or less than the purchase price.

The Trust will earmark or segregate cash or liquid instruments equal to or greater in value
than the Funds purchase commitments for such when-issued or delayed-delivery securities.

Investments in Other Investment Companies

The Funds may invest in the securities of other investment companies, including ETFs, to the extent that such an
investment would be consistent with the requirements of the 1940 Act or any exemptive order issued by the SEC. If a Fund invests in, and, thus, is a shareholder of, another investment company, the Funds shareholders will indirectly bear the
Funds proportionate share of the fees and expenses paid by such other investment company, including advisory fees, in addition to both the management fees payable directly by the Fund to the Funds own investment advisor and the other
expenses that the Fund bears directly in connection with the Funds own operations.

Because most ETFs are investment
companies, absent exemptive relief, investments in such funds generally would be limited under applicable federal statutory provisions. Those provisions restrict a funds investment in the shares of another investment company to up to 5% of its
assets (which may represent no more than 3% of the securities of such other investment company) and limit aggregate investments in all investment companies to 10% of assets. A Fund may invest in certain ETFs in excess of the statutory limit in
reliance on an exemptive order issued by the SEC to those entities and pursuant to procedures approved by the Board provided that the Fund complies with the conditions of the exemptive relief, as they may be amended from time to time, and any other
applicable investment limitations.

Real Estate Investment Trusts

Each Fund may invest in real estate investment trusts (REITs). Equity REITs invest primarily in real property while mortgage
REITs invest in construction, development and long-term mortgage loans. Their value may be affected by changes in the value of the underlying property of the REIT, the creditworthiness of the issuer, property taxes, interest rates, and tax and
regulatory requirements, such as those relating to the environment. REITs are dependent upon management skill, are not diversified and are subject to heavy cash flow dependency, default by borrowers, self-liquidation and the possibility of failing
to qualify for tax-free pass-through of income under the Code and failing to maintain exempt status under the 1940 Act.

Illiquid
Securities

Each Fund may purchase illiquid securities, including securities that are not readily marketable and securities
that are not registered (restricted securities) under the 1933 Act, but which can be sold to qualified institutional buyers under Rule 144A under the 1933 Act. A Fund will not invest more than 15% of the Funds net assets in
illiquid securities. The term illiquid securities for this purpose means securities that cannot be disposed of within seven days in the ordinary course of business at approximately the amount at which the Fund has valued the securities.
Under the current guidelines of the staff of the SEC, illiquid securities also are considered to include, among other securities, purchased OTC options, certain cover for OTC options, repurchase agreements with maturities in excess of seven days,
and certain securities whose disposition is restricted under the federal securities laws. The Fund may not be able to sell illiquid securities when ProShare Advisors considers it desirable to do so or may have to sell such securities at a price that
is lower than the price that could be obtained if the securities were more liquid. In addition, the sale of illiquid securities also may require more time and may result in higher dealer discounts and other selling expenses than does the sale of
securities that are not illiquid. Illiquid securities also may be more difficult to value due to the unavailability of reliable market quotations for such securities, and investments in illiquid securities may have an adverse impact on NAV.

Institutional markets for restricted securities have developed as a result of the promulgation of Rule 144A under the 1933
Act, which provides a safe harbor from 1933 Act registration requirements for qualifying sales to institutional investors. When Rule 144A securities present an attractive investment opportunity and otherwise meet selection criteria, a Fund may make
such investments. Whether or not such securities are illiquid depends on the market that exists for the particular security. The SEC staff has taken the position that the liquidity of Rule 144A restricted securities is a question of fact for a board
of trustees to determine, such determination to be based on a consideration of the readily-available trading markets and the review of any contractual restrictions. The staff also has acknowledged that, while a board of trustees retains ultimate
responsibility, trustees may delegate this function to an investment adviser. The Board of Trustees has delegated this responsibility for determining the liquidity of Rule 144A restricted securities which may be invested in by a Fund to ProShare
Advisors. It is not possible to predict with assurance exactly how the market for Rule 144A restricted securities or any other security will develop. A security that when purchased enjoyed a fair degree of marketability may subsequently become
illiquid and, accordingly, a security that was deemed to be liquid at the time of acquisition may subsequently become illiquid. In such event, appropriate remedies will be considered to minimize the effect on the Funds liquidity.

A Funds portfolio turnover may vary from year to year, as well as within a year. The nature of the Funds may cause the Funds to experience substantial differences in brokerage commissions from year
to year. High portfolio turnover and correspondingly greater brokerage commissions, to a great extent, depend on the purchase, redemption, and exchange activity of a Funds investors, as well as each Funds investment objective and
strategies. The overall reasonableness of brokerage commissions is evaluated by ProShare Advisors based upon its knowledge of available information as to the general level of commissions paid by other institutional investors for comparable services.
In addition, a Funds portfolio turnover level may adversely affect the ability of the Fund to achieve its investment objective. Portfolio Turnover Rate is defined under the rules of the SEC as the lesser of the value of the
securities purchased or securities sold, excluding all securities whose maturities at time of acquisition were one year or less, divided by the average monthly value of such securities owned during the year. Based on this definition, instruments
with remaining maturities of less than one year are excluded from the calculation of the Portfolio Turnover Rate. Instruments excluded from the calculation of portfolio turnover generally would include futures contracts, swap agreements and option
contracts in which the Funds invest since such contracts generally have a remaining maturity of less than one year. ETFs, such as the Funds, may incur very low levels of portfolio turnover (or none at all in accordance with the SEC methodology
described above) because of the way in which they operate and the way shares are created in creation units. However, a low or zero Portfolio Turnover Rate should not be assumed to be indicative of the amount of gains that a Fund may or may not
distribute to shareholders, as the instruments excluded from the calculation described above may have generated taxable gains upon their sale or maturity. For those Funds that commenced operations prior to May 31, 2011, each such Funds
turnover rate for the period from that Funds commencement of operations to May 31, 2011 is set forth in the Annual Report to shareholders. Annual Portfolio turnover rates are also shown in each Funds Prospectus.

As discussed above and in the Prospectuses, the Funds present certain risks, some of which are further described below.

Tracking and Correlation

Several factors may affect a Funds ability to achieve a high degree of correlation within its Index. Among these factors are:
(1) a Funds fees and expenses, including brokerage (which may be increased by high portfolio turnover) and the costs associated with the use of derivatives; (2) less than all of the securities in the index being held by a Fund and
securities not included in the index being held by a Fund; (3) an imperfect correlation between the performance of instruments held by a Fund, such as futures contracts, and the performance of the underlying securities in the cash market;
(4) bid-ask spreads (the effect of which may be increased by portfolio turnover); (5) holding instruments traded in a market that has become illiquid or disrupted; (6) a Funds Share prices being rounded to the nearest cent;
(7) changes to the index that are not disseminated in advance; (8) the need to conform a Funds portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) actual purchases and
sales of the shares of a Fund may differ from estimated transactions reported prior to the time share prices are calculated; (10) limit up or limit down trading halts on options or futures contracts which may prevent a Fund from purchasing or
selling options or futures contracts; (11) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; and (12) fluctuations in
currency exchange rates. Each Fund, except the Alpha ProShares Funds or Specialty ProShares Funds, has an investment objective to match a multiple (2x or 3x), the inverse (-1x) or a multiple of the inverse (-2x or -3x) of the performance of an index
on a single day. A single day is measured from the time the Fund calculates its NAV to the time of the Funds next NAV calculation. These Funds are subject to the correlation risks described above. In addition, while a close
correlation of any Fund to its index may be achieved on any single trading day for certain Funds, over time, the cumulative percentage increase or decrease in the NAV of the Shares may diverge, in some cases significantly, from the cumulative
percentage decrease or increase in the index due to a compounding effect as further described in the Prospectuses.

Also,
while the Advisor takes steps to ensure that each Fund is appropriately and proportionately exposed to its index by the end of each day to meet its daily investment objective, deviations in the anticipated and actual net assets of the Fund may cause
the Fund to be over- or under-exposed to its index. This may results in greater tracking and correlation error and could cause the Fund to lose money.

Leverage

Each Fund intends to use, on a regular basis, leverage in
pursuing its investment objectives. Leverage exists when a Fund achieves the right to a return on a capital base that exceeds the amount the Fund has invested. Utilization of leverage involves special risks and should be considered to be
speculative. Specifically, leverage creates the potential for greater gains to Fund shareholders during favorable market conditions and the risk of magnified losses during adverse market conditions, and the risk of magnified losses during adverse
market conditions. Leverage is likely to cause higher volatility of the NAVs of these Funds Shares. Leverage may also involve the creation of a liability that does not entail any interest costs or the creation of a liability that requires the
Fund to pay interest which would decrease the Funds total return to shareholders. If these Funds achieve their investment objectives, during adverse market conditions, shareholders should experience a loss greater than they would have incurred
had these Funds not been leveraged.

Special Note Regarding the Correlation Risks of Leveraged, Inverse or Inverse
Leveraged Funds (all Funds except Alpha ProShares Funds and Specialty Funds). As a result of compounding, for periods greater than one day, the use of leverage tends to cause the performance of a Fund to vary from its indexs performance
times the stated multiple in the Funds investment objective. Compounding affects all investments, but has a more significant impact on leveraged, inverse and inverse leveraged funds. Four factors significantly affect how close daily compounded
returns are to longer-term index returns times the funds multiple: the length of the holding period, index volatility, whether the multiple is positive or inverse, and its leverage level. Longer holding periods, higher index volatility,
inverse multiples and greater leverage each can lead to returns farther from the multiple times the index return. As the tables below show, particularly during periods of higher index volatility, compounding will cause longer term results to vary
from the index performance times the stated multiple in the Funds investment objective. This effect becomes more pronounced as volatility increases.

A leveraged inverse, and inverse leveraged Funds return for periods longer than one day is primarily a function of the following:

dividends or interest paid with respect to securities included in the index.

The performance for a leveraged, inverse or inverse leveraged Fund can be estimated given any set of assumptions for the factors described above. The tables on the next five pages illustrate the impact of
two factors, index volatility and index performance, on a leveraged, inverse or inverse leveraged fund. Index volatility is a statistical measure of the magnitude of fluctuations in the returns of an index and is calculated as the standard deviation
of the natural logarithms of one plus the index return (calculated daily), multiplied by the square root of the number of trading days per year (assumed to be 252). The tables show estimated Fund returns for a number of combinations of index
performance and index volatility over a one-year period. Assumptions used in the tables include: (a) no dividends paid with respect to equity securities included in the index; (b) no Fund expenses; and (c) borrowing/lending rates (to
obtain leverage or inverse exposure) of zero percent. If Fund expenses and/or actual borrowing lending rates were reflected, the Funds performance would be lower than shown.

The first table below shows a performance example of an Ultra ProShares Fund (which has an
investment objective to correspond to twice (2x) the daily performance of an index. The Ultra ProShares Fund could be expected to achieve a 20% return on a yearly basis if the index performance was 10%, absent any costs, the correlation risk or
other factors described above and in the Prospectus under Correlation Risk and Compounding Risk. However, as the table shows, with an index volatility of 20%, such a Fund would return 16.3%, again absent any costs or other
factors described above and in the Prospectuses under Correlation Risk and Compounding Risk. In the charts below, areas shaded lighter represent those scenarios where a leveraged Fund with the investment objective described
will return the same as or outperform (i.e., return more than) the index performance times the stated multiple in the Funds investment objective; conversely, areas shaded darker represent those scenarios where the Fund will underperform (i.e.,
return less than) the index performance times the stated multiple in the Funds investment objective.

Estimated Fund Return Over One
Year When the Fund Objective is to Seek Daily Investment Results, Before Fund Fees and Expenses and Leverage Costs, that Correspond to Twice (2x) the Daily Performance of an Index.

The table below shows a performance example of a Short ProShares Fund (which has an investment objective to
correspond to the inverse (-1x) of the daily performance of an index). In the chart below, areas shaded lighter represent those scenarios where a Short ProShares Fund will return the same or outperform (i.e., return more than) the index performance;
conversely areas shaded darker represent those scenarios where a Short ProShares Fund will underperform (i.e., return less than) the index performance.

Estimated Fund Return Over One Year When the Fund Objective is to Seek Daily Investment Results, Before Fees and Expenses, that Correspond to the Inverse (-1x) of the Daily Performance of an Index.

The table below shows a performance example of an UltraShort ProShares Fund (which has an investment
objective to correspond to twice the inverse (-2x) of the daily performance of an index). In the chart below, areas shaded lighter represent those scenarios where an UltraShort ProShares Fund will return the same or outperform (i.e., return more
than) the index performance; conversely areas shaded darker represent those scenarios where an UltraShort ProShares Fund will underperform (i.e., return less than) the index performance.

Estimated Fund Return Over One Year When the Fund Objective is to Seek Daily Investment Results, Before Fees and Expenses, that Correspond to Twice the Inverse (-2x) of the Daily Performance of an
Index.

The tables below show performance examples of an UltraPro and UltraPro Short ProShares Fund (which have
investment objectives to correspond to three times (3x) and three times the inverse of (-3x), respectively, the daily performance of an index). In the charts below, areas shaded lighter represent those scenarios where a Fund will return the
same as or outperform (i.e., return more than) the index performance times the stated multiple in the Funds investment objective; conversely, areas shaded darker represent those scenarios where the Fund will underperform (i.e., return less
than) the index performance times the stated multiple in the Funds investment objective.

Estimated Fund Return Over One Year When
the Fund Objective is to Seek Daily Investment Results, Before Fund Fees and Expenses and Leverage Costs, that Correspond to Three Times (3x) the Daily Performance of an Index.

Estimated Fund Return Over One Year When the Fund Objective is to Seek Daily Investment Results, Before
Fees and Expenses, that Correspond to Three Times the Inverse (-3x) of the Daily Performance of an Index.